Risk magazine
Risk 25 firms of the future: BGC Partners
Our customers are changing
Copulas and credit models
Copulas and credit models
Adjusting value-at-risk for market liquidity
Adjusting value-at-risk for market liquidity
Cooking with collateral
Cooking with collateral
Momentum trading: ’skews me
Momentum trading: ’skews me
Banks will struggle to fill top quant roles, says Andreasen
Jesper Andreasen slams new generation of quants as indoctrinated "muppets", incapable of independent thought
Don't blame the quants, says Merton
Quantitative models were unfairly criticised in the aftermath of the financial crisis, says legendary quant and co-creator of the Black-Scholes equation, but there’s plenty for quants to work on in the current environment
Risk.net poll: Basel Committee wrong to be sceptical of capital models
Readers of Risk.net vote two to one against the Basel Committee's new-found distrust of internal capital modelling
US large exposures rule could stop banks trading with RBS
Federal Reserve proposals limiting counterparty risk could put RBS and the UK government in one pot – potentially forcing US banks to cut exposure to both
Attempts at CDS portfolio margining in regulatory limbo
Dealers worry about the impact on liquidity unless single-name and index trades can be margined together
Italy downgrade triggers inflation bond sell-off
Moody's downgrade forces Italian linkers out of index
FX platform proliferation branded unsustainable
A recent flurry of FX trading platform launches will undoubtedly lead to a round of consolidation, with less successful players squeezed out of the market, argue FX Week USA speakers
Quant Congress USA: Real-time audit trail unnecessary, says SEC chief economist
SEC chief economist says consolidated audit trail rule is strong enough, despite concerns from Democrats
Quant Congress USA: Avoid synthetic ETFs, says Avellaneda
Leveraged and inverse ETFs and ETNs criticised by New York University mathematics professor
Quant Congress USA: SEC using models to look for the next Madoff
A decision by the SEC to invest in quantitative research is paying off, with recent enforcements in the hedge fund space a result of warnings generated by models, says SEC chief economist
Lack of governance to blame for Libor scandal, says IMF official
A failure of bank governance is behind the recent Libor rate-fixing scandal – and these kinds of failings could pose systemic risks, says José Viñals
Quant Congress USA: Basel timelines meaningless, says panel
The banking industry is moving ahead with Basel III implementation – even in the US, where regulators only recently released their Basel III proposals
CFTC-SEC swap ruling starts Dodd-Frank compliance race
Publication of swap rule will mark start of 60-day countdown to compliance with registration, reporting rules. Industry will find it "quite challenging" warns CFTC's O'Malia
House of Lords committee chair warns of Mifid liquidity costs
Transparency and own-capital ban for OTFs could interfere with “free flow” of market, says Lord Harrison, chair of a House of Lords committee that yesterday warned of fundamental flaws in Europe’s Mifid review
New CPSS/Basel guidance on FX risk management to be published soon
A new consultation paper on risk management practices in the FX market will be released in the third quarter – and may be published as early as this month
CCPs wary of covered bonds despite Esma proposal
LCH.Clearnet and Eurex will not accept own-name covered bonds as collateral, despite green light from Esma
Sponsored forum: Luxembourg
Luxembourg ahead of the game on Ucits IV
WGMR margin rules borrow heavily from US proposals
Working group publishes proposed margin rules for uncleared trades – bringing global rules in line with an earlier US proposal
Prices diverge as CVA exemption remains in limbo
Dealers face pricing headache as they wait to see whether Europe's version of Basel III will exempt corporate customers from the CVA capital charge