Risk magazine
Esma investigating Mifid trade data publishers
European regulator warns approved publication arrangements could be breaking the rules
Banks make new push on FRTB’s P&L test
Industry calls for series of changes as regulators prepare new consultation, says Nomura’s Epperlein
A Brexit financial services deal and the 12 tasks of Hammond
UK call for turbo-charged equivalence with the EU faces big hurdles
XVA: back to CVA?
Fundamental questions on CVA remain unanswered, writes mathematical finance head
Ex-F1 strategist in driving seat at Schroders data unit
Mark Ainsworth on “turning data into alpha” at fundamental asset manager
Treasury official calls on Fed to review FBO rules
Senate bill aims to relax US Sifi threshold but offers no relief for foreign banks
Latvian bank collapse casts doubt on moratorium plan
Lobbyists say handling of ABLV shows flaws in EC’s pre-resolution stay concept
Focus on total return futures – How innovation opens up investment opportunities
Eurex asks Edouard Pelier, head of delta one and collateral trading, equity and commodity products at UniCredit Bank, and Ziad Kerbage, executive director of the equity derivatives group at JP Morgan, why market participants should trade total return…
Vix curve gave warning of February volatility spike
Research by NYU’s Marco Avellaneda offers insight into short-vol strategy
Podcast: Mercurio on Libor, fraud and writing models on a plane
Post-Libor environment and financial crime detection to drive future research, says top quant
European legislators to exempt CCPs from new bank rules
Support in Council and Parliament suggests leverage ratio, NSFR exemptions will be in final text
US clearing banks still push for leverage ratio IM offset
Potential cut in ratio and adoption of SA-CCR not enough to stop shake-out, FCMs warn
Market players struggle to access Mifid trade-report data
Approved publication arrangements break the spirit of new transparency rules, says lawmaker
Waiting for Giancarlo
CFTC no-action relief to be codified, but big changes on de minimis and position limits still distant
Fixed-value euro money funds set to disappear
EC’s dim view of share destruction leaves stable euro fund values impossible with negative yields
Softened EU swap stay still threatens margin hike
Moratorium cut to two days, but pre-resolution stay could make EU a non-netting jurisdiction
In the dark: pools warn late Mifid rules still won't add up
Venues say better trade-flagging, consolidated tape needed for equity double-volume caps
Mifid drives ETF trading on to platforms
Best execution rules push Tradeweb ETF volumes up 32%, but smart order routers may alter trend
Giancarlo undercuts SDRs' push for dual-sided reporting
CFTC chairman says US single-sided reporting regime is ‘the better approach’
Pillar 2 moves to centre stage for op risk capital
US banks set for sharp falls in Pillar 1 requirements, but regulator-set add-ons cloud SMA’s impact
EU market abuse rules could trip alternative data users
Regulators might treat some new datasets as inside information, lawyers say
Credit data: Brexit gloom lifting for UK companies?
David Carruthers of Credit Benchmark looks at the most recent trends in bank-sourced credit data
Podcast: Callegaro, Fiorin and Grasselli on quantization
High-dimension problems can be solved with discretisation techniques
Deloitte valuation boosts legal hopes of Popular bondholders
Experts point to quick and unreliable valuation, and lack of independence on liquidity assessment