Risk magazine
Quant Guide 2017: Carnegie Mellon University
Tepper School of Business, Pittsburgh, USA
Quant Guide 2017: Boston University
Questrom School of Business, Boston, USA
Quant Guide 2017: University of California, Berkeley
Haas School of Business, Berkeley, USA
Quant Guide 2017: University of Leuven
Leuven, Belgium
DTCC’s $74 billion liquidity charge riles members
Some firms may stop clearing US Treasury trades if the CCLF is implemented
R3 claims progress on smart contracts standards
DLT consortium under pressure to show cohesion after JP Morgan departure
Banks turn to synthetic derivatives to cut initial margin
Options-based instruments can halve initial margin for some non-cleared products, say dealers
Three lines of defence model still evolving, say practitioners
Clearer split in responsibilities between first and second lines needed, say op risk chiefs
Scrap the gold plate: Mnuchin goes global on bank rules
Treasury converges to international standards, but leverage ratio exception may delay Basel deal
US Treasury stance on CCAR a return to ‘bad old days’
Overhaul would kill test failed by eight banks in past three years
Bounding Bermudans
Thomas Roos derives model-independent bounds for amortising and accreting Bermudan swaptions
Cyber insurance not a risk management tool, say banks
Lengthy payout mechanism of cyber policies makes it ineffectual against large losses, dealers argue
Just six banks caught by phase two of IM regime
Four EU, one Japanese and one Australian bank to start posting initial margin on non-cleared trades from September
US Treasury’s leverage fix tipped to boost repo market
US Treasury plan to exempt US government bond exposures expected to help struggling market
Crapo: US Treasury reforms will be ‘complicated’
Democrats unlikely to back changes that benefit big banks, Senate banking committee chair says
ECB and Esma would call shots on euro clearing
Proposals give central bank and regulator the power to bar biggest third-country CCPs
People: HSBC’s Karl joins Isda
OCC names new chief information officer; Nex nabs JP Morgan’s Americas head of derivatives clearing
Clashing bank resolution plans threaten to stall US reforms
Supporters of bankruptcy act want it separated from repeal of Dodd-Frank Title II
Benchmark fallbacks should be regulated, says industry
Fears of basis risk unless all users are obliged to write backup rates into legacy contracts
Model calibration with neural networks
Andres Hernandez presents a neural network approach to speed up model calibration
FRTB threatens Canadian bond market, dealers say
Modelling the risk factors of Canadian corporate debt is “almost impossible”
EU regulators stymied by Esma on electronic access
Treatment for third-country firms unknown until European Commission makes equivalence decision
The untapped potential of stress tests
Quants propose technique to include stress testing in portfolio allocation
EU rules delay sparks fears over indirect clearing
CCP members must offer new arrangements for exchange-traded derivatives in January 2018