Emir data may have exposed Archegos, but not in real time

Entity-level reports were limited to supervisors, leaving counterparty banks in the dark


Risk officers are sceptical that data collected by regulators would prevent a repeat of the risk pile-up that toppled Archegos Capital Management, despite a new study showing data reported under the European Market Infrastructure Regulation (Emir) exposed burgeoning exposures months before the family office imploded.

The study, published this week by the European Securities and Markets Authority (Esma) shows Archegos’s exposures to a narrow band of stocks almost trebled in 2020 and continued to

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Calibrating interest rate curves for a new era

Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…

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