Our take
SA-CCR may need more fundamental fixes
Quants propose tweaks to improve Basel counterparty credit risk framework
Remembering the range accrual bloodbath
Flatter US yield curve spurs demand for a product with a painful history
Op risk past is prologue for UK banks
UK banks will not be allowed to forget past misdeeds
Will the Nasdaq default spur CVA for CCPs?
Quant proposes model to calculate bank credit risk exposure to CCP
Nowcasting can illuminate China’s macro scene
Nowcasting teams are proving a valuable tool for investors
Op risk capital: looking back in anger
Top 10 op risks survey shows industry has sights set on the horizon, even when regulators are looking backwards
The low flow blow
Traders can’t make flow rates business hot again, but their colleagues in tech and ops might be able to
Nasdaq auction failure ignites anti-clearing backlash
CCP members wary of illiquid risks
Last orders at the VAR
Inaccurate risk-of-loss estimates threaten to load extra capital charges on US dealers
CDSs get subjective
Legal certainty loses out to commercial objectives in race to fix manufactured defaults
Could machine learning improve CVA and IM calculations?
Banks have built ways to calculate CVA more quickly, but neural networks could offer more accurate method
Factors’ tails are fatter than you think
Investors should beware extreme losses from factor investing strategies
We need to talk about Collins
Standardised capital has become the binding constraint for all US G-Sibs bar Goldman and BNY Mellon
Calling out autocallable pricing
Quants show popular autocallable pricing technique has a flaw that has been ignored until now
Dabbling in data science won’t cut it
Banks are seeking data-led boost for research arms – only a few will succeed
A tale of two CCPs
Nasdaq and Ice breaches carry warnings for the market
Does credit risk need an expected shortfall-style revamp?
Quants propose tail risk-sensitive measure for counterparty credit risk
Credit risk quants are hitting the tech gap
An appetite to cut the costs of IRB is constrained by tougher regulatory scrutiny
Learning algos that learn how to learn
Knowing what to remember and what to forget could help machines beat quant and discretionary investors
Margin model revamp should top 2019 agenda for Asian CCPs
As rates rise and trade tensions grow, CCPs must be prepared for higher volatility
What’s Finnish for ‘too big to fail’?
Strange case of Nordea highlights flaw in G-Sib assessments
You don’t need to sacrifice accuracy for flexibility
BAML quant proposes option pricing model that softens conflict between the two properties
If CLO investors flee, defaults could snowball
High yield borrowers relying on a steady stream of leveraged loan issuance that could quickly run dry
Lobbing out the Clobs?
As more prop traders go bilateral, what does it say about – and mean for – market liquidity?