Risk magazine - Jun 2026
Cover detail:
Maria Esmar, Time to fly
Acrylic on canvas, 50 x 50 cm
www.anne-mariebainbridge.co.uk
am.b@btopenworld.com
Articles in this issue
Treasury basis trade loses its allure as returns shrink
Tight spreads and rising funding costs are pushing the cash-futures basis trade out of favour
Clearers face heavy lift on CME-FICC cross-margin service
Dual registration and regulation plus uncertainty over close-outs all weigh on client offering
SocGen is getting into the systematic equity dispersion game
New single-stock options index is first step to plugging a gap in the bank’s QIS business
US FRTB glitch could spit out negative capital charges
Effort to recognise risk diversification between IMA and standardised approach went too far
AI could shrink trader roles – markets heads
DekaBank, BNPP AM see hedging, risk position management and bond markets as ripe for robots
Ice sets up four-way race for Japan’s Tona futures
London joins Osaka, Tokyo and Singapore exchanges in battle for yen rates contracts
Liquidity on Kalshi, Polymarket ‘too thin’ for institutional use
Patchy trade flows cause outsize market impact for financial events, research from Risk.net shows
EBA’s repack answers leave dealers guessing
Spire dealers are split – some see worst-case scenario, others assume gentler treatment
People: MUFG hires AI strategy head, Wells Fargo builds up QIS, and more
Latest job changes across the industry
Bringing real-time US options analytics to Apac market participants
Cboe Options Analytics Select extends institutional-grade options analytics capabilities globally, creating a tailored solution for Apac investors
How quants are getting the most out of Claude
Agentic tools boost productivity by multiples, but using them takes skill
Top quants on how AI will change some jobs and steal others
Coding skills will matter less and research skills more, say quants in Risk.net straw poll
How vol eruption blew up Goldman’s rates book
Dealers were short payer skew from corporate and hedge fund flows. Then came the Iran war.
Will Kalshi and Polymarket win over prop shops? Don’t bet on it.
A few market-makers – Jump Trading and Susquehanna among them – are dabbling in prediction markets but most are holding off due to patchy liquidity and legal uncertainty
EU banks welcome high-risk systems breather from delay in AI act
But chatbot transparency still applies from August, requiring deployers to disclose use to customers
Double, but no trouble? CVA capital hit may lack clout
Industry opinion mixed around Basel III endgame derivatives charge
Dealers split on best path to electronically hedge FX swaps
IDB costs see banks eyeing Clobs and dark pools, but traders say brokers still have their charms
How electronic quoting could jolt gilts back to life
While UK government bond market stagnates, Italy boosts on-venue trading with dealer incentives. Should London take a leaf from Rome’s bookrunners?
Amid debanking drama, banks try to say ‘no’, safely
A basic risk management tool – the ability to turn a customer away – has become a political football
Hong Kong biotech: from niche exposure to broader product ecosystem
Hong Kong’s biotech market is maturing from a niche thematic allocation into a broader capital markets proposition
How gatecrashers could spoil the tokenisation party
Blockchain can curb settlement risks, but that could come at the expense of new third-party risks
Erba myth: will US banks choose new capital measure?
B3E gives US banks a dilemma – adopt expanded risk-based approach, or a new standardised alternative
Crisis? Which crisis? How ECB stress test failed to see Strait
Banks were told to design geopolitical shock scenarios, but some focused mainly on tariffs
Treasury mulls investing cash in repo. Experts aren’t convinced.
Putting idle cash to work would earn paltry returns and perhaps depress private lending activity, say sceptics
The race to model private market risks
BlackRock maps holdings to risk factors; competitors aim to get the best from statistical methods
Un-American or un-JPM? Surcharge rethink divides G-Sibs
Some see sense in rethink to funding indicator, others call for a backtrack
Why Apac CROs are turning risk into strategic advantage
Resilience, agility and AI-driven analysis are becoming as important as traditional risk oversight for Apac CROs
Why do prices jump?
After years of investigation, we still aren’t sure, says Jean-Philippe Bouchaud
Vinicius fortune: quantifying luck in the World Cup draw
Julien Guyon explains how bias, variance and luck affect teams in this summer’s tournament – and explores wider relevance for portfolio managers
AI compute has a governance problem
As exchanges move to launch compute futures, Vishal Gupta argues that the real test is not product innovation, but whether governance can keep pace
EUR vs USD stablecoins is the wrong debate
Market structure and regulatory cohesion is at the centre of the stablecoin liquidity evolution, says Flow Traders’ digital assets head
Don’t mind the gap risk: regulatory treatment of credit repacks
Gap risk in repackaging is not a credit valuation adjustment for Basel III capital purposes, argues senior quant Andrey Chirikhin
G-Sib capital surcharge: how indexing and averaging alter incentives
Capital risk strategist anticipates Basel III endgame impact on US big-bank behaviour
Megabanks boost repo exposures after SLR reform
Volumes of repo-style transactions at US systemic banks top $2.5trn, helping drive record-low SLRs in Q1
Iran war drives record CCP margin calls
NSCC, CCIL and CME among clearing houses reporting peak VM and IM calls in Q1
European banks disclose €120bn of private credit exposure
Deutsche Bank and Barclays lead disclosed totals in Q1, but reporting gaps hamper comparison
Third parties cause third of ICT failures, Dora report shows
First annual report shows IT risk is highly interconnected and international, say EU regulators
Differential machine learning with a difference
A technique to improve approximations for pricing derivatives with discontinuous payoffs is introduced
The unreasonable effectiveness of randomised quasi-Monte Carlo in finance
An analysis of simulation methods shows which works best for Asian options
