Our take
Degree of influence 2022: in the grip of volatility
Rough volatility, liquidity and trade execution were quants’ top priorities this year
China congress brings new risks to foreign bank JVs
New political risks add to existing challenges for fully controlled ventures in the country
Crypto structured products come of age
After some growing pains, the space is now offering the type of structures seen in TradFi equities markets
Policy-makers must keep the heat on climate transition
As the financial industry shows signs of climate fatigue, regulators need to pick up the slack
Revival of off-balance-sheet financing merits close scrutiny
Banks need more diverse funding sources, but new structures must be vetted carefully
Gamma zero: an overlooked signal of volatility is flashing red
Markets are most erratic when option hedging exposures are flat
Are decentralised exchanges the future for trading?
Success of blockchain venues has implications even beyond crypto
How to hone NLP’s detection skills: a cue from a super-sleuth
With a sharper focus, AI readers could help detect hidden exposures for investors
Europe’s regulators play ‘time the downturn’ with CCyB
Indicators justify hikes in countercyclical capital buffer, but shock-driven recession looms large
Pension funds foresaw margin meltdown (a decade ago)
Years of warnings went largely unheeded. Questions may now spread to post-crisis clearing and margining project
Talking Heads 2022: Rates market ruckus
Inaugural interview series looks at how sell-side traders are adapting to a world of surging inflation and rates
Growth to value, and back via quality
Inflation-fuelled stock rotations are full of complexity
Should you hedge or should you wait?
New paper introduces quantitative framework for optimal FX hedging
Net-zero pledges bring big unknown for credit risk
Uncertainty on how governments plan to curb emissions adds political dimension to credit quality assessments
Time to shine: corporate FX’s surprise glow-up
Corporate FX enjoys its time in the sun as currency headwinds spark corporate hedging needs
Can the EC reach consensus in clearing countdown?
Brussels faces a cold, hard deadline to build clearing regulation accord in Europe
The ghost of Archegos returns to haunt Simm
UK regulator’s attack on Simm may have more to do with the failed family office than meets the eye
Getting the jump on pricing dividend-protected derivatives
Morgan Stanley quants show how to avoid mispricing corporate options and convertible bonds
Regulators should be careful what they wish for on FRTB
New framework likely to reduce use of internal models, as planned; but is that a good thing?
Commodities surge presents UMR test for Asia’s sell side
Increased interest in commodity exotics comes amid scrutiny of margin calculation models
Will last look disclosures come to FX derivatives?
JPM and NatWest have published their swaps and options last look windows – will others follow suit?
Mediobanca’s Generali deal revives an old sec lending concern
BoE warns against lending shares to borrowers aiming to influence AGM votes, but will anyone outside the UK listen?
A new way to calculate conditional expectations
Gaussian distributions can sharpen one of the most commonly used tools in quant finance
EU G-Sibs’ score win is political boost, but no panacea
Carve-out of intra-bloc exposures from BCBS score enshrines banking union, but produces little