Our take
The AOCI elephant in the DFAST room
After March’s banking crisis, Fed stress tests should adopt harsher and wider ranging rate scenarios
China needs an RMB liquidity absorber – HK might be the answer
Increasing HKMA’s CNH debt issuance could help cement renminbi’s role in financial markets
Into the quantiverse: real-world pricing goes arbitrage-free
QRM quants claim to have bridged divide across ‘multiverse’ of fixed-income models
A three-point turn in derivative design
Citibank quant’s triangle method allows information geometry to be applied to hedge structuring
In bank runs and market crashes, it matters how ideas ‘catch’
Contagion episodes show importance of network effects in finance
Hear no EVE, see no EVE
The Fed chastised SVB for poor rate-risk monitoring, but most US banks’ disclosures remain focused on earnings alone
Challenged single-name CDS market takes optimistic turn
Trading has boomed despite recent criticism, but can the market regain its former strength?
How banks can avoid bad haircuts on hedge fund trades
HSBC quant makes case for looking at collateral and funding rates in concert
The Catch-22 of US banks’ liquidity buffers
US banks are using held-to-maturity bonds to underpin liquidity adequacy, grating against accounting guidance. What happens if they’re forced to sell?
After a hack, loose lips won’t sink chips
Ion Group is the latest ransomware victim to stay mum about how it was compromised. No-one benefits from this code of silence
Taking the measure of CMS pricing
Bank of America quants propose comprehensive framework for modelling rate derivatives
Inflationary forces (and microbial soups)
The hold of central banks over inflation may be weaker than we thought
Was Archegos default a one-in-a-million event?
BoE quant says neglecting high leverage and WWR may create conditions for similar blow-ups
Data shines light on Tibor fragility
Lack of actual transactions in D-Tibor should be considered in fallback discussions
Living with SA-CCR, one year on
Collateral agreements and FX futures may be some of the ways to tackle increased capital costs
GFXC to entice buy-side code adoption with ESG tie-ups
Rating agency partnerships would link FX code adoption to ESG scores
Clock ticking on UK plan for regulatory reforms
Changes to SMCR and short-selling rules least likely to be completed before next election
How did EU regulators miss the FTX horror story?
Gruesome accounting practices and a questionable cast: plenty of grounds to reject Mifid licence
ARRC’s trivial fight over term SOFR use
Toyota’s ABS deal should not derail effort to expand use of term rate in derivatives
What happens when a bank drops off the systemic risk radar?
Russia’s Sberbank skipped this year’s G-Sib assessment. But just because a bank is invisible doesn’t mean it no longer poses a risk
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