Risk magazine - Feb 2022
Articles in this issue
Vanna and the Big Put: unusual suspects in a market mystery
US equity reversal on January 24 has spawned many theories, but no solid answers
Equity markets have become so complex as to defy explanation
Experts struggle to rationalise wild swings in a market that is almost unrecognisable
JP Morgan testing deep hedging of exotics
Neural network trained to hedge complex options using simulated data expected to go live this year
CCPs to review conversion blueprint ahead of SOFR switch
Rising rates vol expected to push US transition to the wire, but process likely to follow previous runs
Autocalls in peril as Netflix breaches downside barriers
Options liquidity keeps hedging panic at bay as some investors double down on volatile tech stocks
Bitcoin futures ETF loses 9% a year to fees and contango
Cost of rolling futures contracts from one month to another exacerbates ProShares ETF’s losses
Euro/dollar crosses embrace RFRs, while other currencies lag
€STR becomes new standard for euro cross-currency swaps; CAD and AUD stick with legacy rates
People moves: new Credit Suisse chair, and more
Latest job changes across the industry
Blockade or blunder? Enigma of EU cross-border trading ban
Drafting errors and lawmaker’s comments leave industry perplexed about controversial new rules
Counterparties clash over ‘dirty’ CSAs
Dealers and clients struggle to agree optionality value of posting bonds in cash-and-bond CSAs after Eonia conversion
Quant Finance Master’s Guide 2022
Risk.net’s guide to the world’s leading quant master’s programmes, with the top 25 schools ranked
Is it worth doing a quant master’s degree?
UBS’s Gordon Lee – veteran quant and grad student supervisor – asks the hard question
Buy-side traders start to cool on ESG-deficient dealers
Managers adopting ESG metrics in counterparty evaluations may exclude dealers that aren’t up to scratch
Hedging specialists vie for swelling FX overlay business
Custodians, banks and others look to capitalise on trend for buy side to outsource currency hedging
Smaller US banks make case for credit-sensitive rates
BSBY and Ameribor emerge as preferred Libor successors for some regional lenders in multi-rate approach
UK Treasury urged to allow failed energy firms to hedge
Bulb can’t buy wholesale electricity and gas more than two weeks in advance, leaving it exposed to price hikes
Investment fund leverage: the known unknowns
More work needed on first-mover redemption incentives and margin calls, says Iosco chief
The Collins flaw: backstop turned binding constraint
US legislative tweak was meant to prevent banks from using their own capital models too liberally. It’s now something different
Client margin at Credit Suisse down over $10bn last year
Bank's US clearing units slashed required funds for swaps and F&O
Led by BofA, US banks doubled distributions in 2021
Stock buybacks and dividends hit $117.7 billion last year
UBS sees $20bn RWA impact from Basel III
Increase expected to materialise by 2024 following the implementation of new rules on FRTB, CVA, credit and operational risk
All top US banks below Collins floor
None of the eight systemic banks in the country above the threshold for the first time since 2015
Deutsche’s op RWAs down 10% in 2021
‘Bad bank’ unwinding pushed op risk at multi-year low
Liquidity risk rose at most CCPs in Q3
JSCC, CME, Ice and Eurex among those that revised their VM estimates
Rough volatility moves to exotic frontiers
New simulation scheme clears the way for broader application of the rough Heston model
Efficient simulation of affine forward variance models
Andersen's quadratic-exponential scheme is used for simulations of rough volatility models
Dynamically controlled kernel estimation
An accurate data-driven and model-agnostic method to compute conditional expectations is presented
How NN IP uses machines to read the market – and itself
Dutch manager being acquired by Goldman uses machine learning to ‘augment’ its analysts
