Our take
Don’t let a good crisis go to waste
As supervisory stress tests take a backseat, banks look for new ways to gauge extreme risks
A positive response to negative oil prices
Overhauling pricing models could reap rewards even if prices don’t cross zero again
A tale of two (or three, or four) models
Performance measure based on quality of replicating portfolios outperforms ‘P&L explain’, new paper claims
Margin scuffle at Eurex blurs lines between risk and returns
Disagreement over liquidity risk add-ons may owe more to self-interest than risk management
Blurred lines in bank capital standards
Boundaries between capital buffers and capital requirements are looking worryingly unclear
Solving the enigma of the volatility smiles
Has the problem of jointly calibrating the volatility smiles of the Vix and S&P 500 been solved?
China commodities regulation: time to end the turf war
Mishmash of regulations still govern China’s financial industry
Faith in the machine
The coronavirus crisis could be a defining moment for machine learning in finance
Three adjustments in calibrating models with neural networks
New research addresses fundamental issues with ANN approximation of pricing models
The open data revolution in banking falls short
Lax Pillar 3 rules are leading to inconsistent data being collected
Outsmarting counterparty risk with smart contracts
A digital transaction system developed by quants at DZ Bank could slash margin costs for derivatives
Why bankers should embrace the Brexit political theatre
Treating equivalence as purely technical might not have the outcome that financial firms want
Apac CCPs: we’ve come a long, long way together
Members still gripe about arcane policies, but risk management fundamentals are strong
Full stream ahead for bonds
Price streaming offers cost savings and operational efficiencies, but it could fragment liquidity
No silver bullet for AI explainability
No single approach to interpreting a neural network’s outputs is perfect, so it’s better to use them all
Grand designs? Time to rein in the Pillar 2 project
Pillar 2 capital add-ons are becoming increasingly elaborate
Secrets and Libor fallbacks
Lenders may be forced to reveal sensitive funding data when Libor disappears
Taming the future: Hong Kong and China
Times are tough for Hong Kong, but it remains the best-positioned financial centre to access China
Ripping up the old asset class labels
Outmoded classifications of securities may be concealing market risk. AI has a better idea
When a lapse in concentration is no bad thing
Fortifying too-big-to-fail firms to withstand future crises could make the entire system more vulnerable
EU compounding confusion creates headaches for banks
With the fallback possibly illegal in some EU states, loan system updates may become more complicated
Allocation models that know their unknowns
Quants say probabilistic programming beats machine learning in balancing strategies
Small, speculative clearing members – are they worth the risk?
CCPs need new tools to scrutinise their members, for everyone’s good health
Hedging rate exotics, Bergomi-style
New paper by Nomura quant applies volatility model used in equities to exotic rate hedging