Our take
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
Yield-hungry investors shirk bail-in bond buffet
Banks fear the buy-side’s appetite for MREL debt is on the wane
Replication can illuminate private equity’s nascent risks
New benchmarks paint a less flattering picture of buyout funds
The backlash against green weightings
Banks get a lot of flak for not doing enough to mitigate climate risks
Death, taxes and technology risk
Exchanges must plan for the certainty that their technology will fail, sometimes
Climate change spells death of certainty
Global warming threatens to upend everything risk models take for granted
Quants bring ‘triptych’ of variables to risk measurement
Risk and portfolio managers at La Francaise and LFIS are squeezing more information out of stress tests
Swiss banks ask, how about a magic trick?
Banks pull off an accounting trick – with the help of their regulator
Plumbing problems in the repo market
On September 17, three banks may have sucked up nearly a quarter of money market fund cash