Our take
US clearing houses need not take collateral damage from Brexit
There are signs the US and EU will pull back from the brink in dispute over CCPs
In stress-test window-dressing, timing is everything
EBA and Fed stress tests would have to be in perfect sync to stamp out transatlantic arbitrage
Game theory plays well for capital management
Barclays quants use Shapley method to optimise capital allocation
We’ve been here before: LEIs take two
LEIs are catching on in Asia
When regulators become nationalists
EU’s new treatment of bank software assets is partly a response to global competitive pressures
Time for a (proper) G-Sib speeding ticket
Fed’s systemic risk assessment has become box-ticking exercise, and US banks are getting away with it
Span 2: a fine balance
Switching margin model means walking a tightrope of competing interests amid regulatory scrutiny
Backtesting expected shortfall: mission accomplished?
A rigorous backtest for ES cannot exist, but a good approximation might do the job
Why Asia is so desperate for a term SOFR
With US dollar Libor embedded in local benchmarks, users need a similar replacement
Trading venues could help enforce the forex code
ECNs have the power to boost last look disclosures, but aren’t keen to be the code police
The machines are coming for your pricing models
Deep learning is opening up new frontiers in financial engineering and risk management
Fishing for collateral with neural nets
SocGen quant uses deep learning technique to optimise collateral substitution
Fixing the roof while the sun – wait, is that rain?
The Fed is split on whether to apply a countercyclical buffer. But so is everyone else
The BoE leverage ratio: welcome relief or regulatory arbitrage?
UK banks are reaping higher capital savings through the BoE's leverage measure
Can robots learn to manage risk?
Will machine learning transform risk management or give birth to a new breed of model risk? Probably both
No forward-looking rates? No problem
A commonly used quant model could be the answer to the replacement of forward-looking Libor
How Amazon and Netflix disrupted value investing
New business models have upset a common metric in the quant strategy
Hong Kong warrants: this time it’s different
With their rise in popularity, warrant issuers must be on their guard at all times
Getting risk models runway ready
Banks struggling with internal model requirements may soon opt for off-the-rack rather than bespoke
Can European banks crack the capital allocation code?
Banks “stuck on the same feedback loop” due to sheer weight of capital rules
Libor leaders: how seven firms are tackling the transition
BMO, Prudential, Associated British Ports, LCH and others reveal their plans to move off troubled benchmark
Time to put real problems to the quantum machines
There is a lot to learn before quantum computers can be applied to specific financial problems
Stock-pickers take note: the quants are coming
Quant funds are turning their hand to fundamental investing
Alternative risk premia breaks through in Asia
Asian home bias and opportunity to exploit mispricing of assets among factors boosting strategies