Risk magazine
GFXC to entice buy-side code adoption with ESG tie-ups
Rating agency partnerships would link FX code adoption to ESG scores
Capitolis registers swap dealer in strategy refresh
Vendor’s SBSD registration may facilitate unique multi-seller platform for equity swap business
New buy-side tools seek to break grip of bank FX algos
Proprietary algorithms come of age to provide alternatives for the buy side
ANZ defies ‘white label’ trend with algo expansion
Instead of relying on large LPs, Australian bank aims to offer six new FX algos of its own by February
Machine learning and AI in model risk management: a quant perspective
Statistical risk models face issues of validity as unprecedented events and social phenomena occur. However, artificial intelligence (AI) and machine learning can assist models in maximising accuracy. By Tiziano Bellini, head of risk integration…
Citi quants’ AI model aims to hedge earnings surprises
Machine learning tool forecasts effect of shocks on implied volatility surfaces in minutes
Esma warns new foreign clearing house rules could backfire
Löber says euro swaps trading may move away from CCPs that face toughest EU scrutiny
Market welcomes SOR fallback consensus
Clarification of five-year median spread adjustment is helpful, but “no magic bullet”
JP Morgan appoints two new equities quant research co-heads
New heads will share responsibilities previously held by deep hedging pioneer Hans Buehler
Nickel debacle weakens UK’s case on clearing supervision
LME episode comes amid scrutiny of UK regime and fresh Brexit row
LME tear-up may have averted ‘multiple defaults’ – CEO
Decision to cancel nickel trades on March 8 forestalled ‘unprecedented’ margin call, argues exchange chief
India’s bespoke Basel rules leave foreign banks feeling exposed
End of non-cleared derivatives exemption leaves local branches scrambling for capital
After nickel-gate, Esma may seek data from more non-EU CCPs
Supervisor concerned lack of granular data on exposures could leave it flat-footed on LME-style risk events
The evolution of liquidity risk management
Sponsored content
JP Morgan appoints new head of derivatives clearing
Richardson promoted to top job as Rustad takes leave of absence
Banks adopt Python for faster XVA data analysis and pricing
Some banks claim the coding language permits XVA pricing in milliseconds
The rise of non-financial risks
Naeem Siddiqi, senior adviser, risk management, risk research and quantitative solutions at SAS, discusses the effectiveness of stress-testing as a risk management tool in rapidly changing markets, the role of new technologies in developing robust data…
Initial margin – Special report 2022
This Risk.net special report comprises a series of articles that explore the latest developments and key issues emerging in phases five and six, and charts the changing strategies for firms in meeting their initial margin (IM) responsibilities
Initial margin: the final act
Practice makes perfect, the saying goes. When it comes to the final wave of implementation for uncleared margin rules, however, this may not hold true
Lessons from UMR phase five
Sponsored Q&A
Peacetime stress‑testing applications
Leo Sadovy, analytics consultant, risk, finance and banking, and solution lead for SAS‘s scenario analysis and stress-testing solution, sets out the key role of strong decision-making and the importance of being able to innovate and respond to adverse…
Automate today to prepare for initial margin compliance
Neil Murphy, business manager, TriOptima, at OSTTRA explores how automation can increase efficiency and maximise time savings across margin activities, delivering collateral cost reductions and allowing firms to focus their attentions on higher-value…
The future of life insurance
As the world constantly evolves and changes, so too does the life insurance industry, which is preparing for a multitude of challenges, particularly in three areas: interest rates, regulatory mandates and technology (software, underwriting tools and…
It’s complicated: why backtesting is so challenging, but so important
Hiroshi Tanase, executive director of product analysis and design at S&P Global Market Intelligence, explores why, with the implementation of phase five of uncleared margin rules (UMR) last September and with the phase six roll-out just around the corner…