Bitcoin
Podcast: Lipton on (un)stablecoins and FX market-making
Veteran quant has long warned about fundamental flaws in algorithmic stablecoins
Basel chair stands by tough capital rules for crypto assets
Isda AGM: Hernandez de Cos is unmoved by arguments that high risk weights will push banks out of crypto
Automated market-making for fiat currencies
A framework to exchange fiat currencies on-chain consistently with off-chain prices is presented
CFTC best-placed to regulate digital assets – Pham
Newly confirmed commissioner says agency has the authority and precedent to police crypto markets
Biden approach could leave US behind on crypto regulation
Long timeline of executive order means international community may move faster than US lawmakers
Flow market-maker of the year: Citadel Securities
Risk Awards 2022: ‘Meme factor’ and sturdy systems helped Ken Griffin’s firm cope with huge volumes – and post record revenues
Banks offer crypto clearing but, shhh, don’t tell
Top dealers clear crypto futures for select clients despite smorgasbord of risks
Bitcoin futures ETF loses 9% a year to fees and contango
Cost of rolling futures contracts from one month to another exacerbates ProShares ETF’s losses
Bitcoin’s carbon footprint rises with prices – DNB research
Total carbon emissions produced by crypto assets rose by 25% in 2020, study finds
Top 10 op risk losses for 2021 hog $15bn total
Despite more fraud and crypto crime, firms’ op risk losses fall in number and in volume. Data by ORX News
What drives Bitcoin fees? Using SegWit to assess Bitcoin’s long-run sustainability
In this paper the authors use block-level data from the Bitcoin blockchain to estimate the impact of congestion and the US dollar price on fee rates.
Quantum computing: kryptonite for bitcoin and cyber security
Race is on to secure new encryption algorithms for DeFi, before quantum computers become a present danger
Asset managers want better access to spot crypto market
Top buy-side exec bemoans constraints in debate on use of futures versus spot for cryptocurrency
Debate erupts over bitcoin’s US reg status
Commodity, currency or security? Experts question cryptocurrency’s asset class after El Salvador move
Bank FX teams eye slice of crypto derivatives action
Business heads increasingly confident that trading will reside in their patch
Basel crypto rules: bad for traders, good for risk managers?
Practitioners divided over potential bank capital treatment for assets with no intrinsic value
Former clearing head urges ‘reasonable regulation’ of crypto
Risk USA: panellists complain current regulatory approach is ‘painful’ and doesn’t embrace innovation
Cryptocurrency versus other financial instruments: how a small market affects a large market
This study analyzes the impact of cryptocurrencies on the function and position of financial markets.
Quant funds tackle chronic overfitting in crypto strategies
Firms adapt backtests and tread lightly to address “huge” overfitting risk, magnified by scarce data
Op risk data: DeFi-ant crypto hacker steals $610m
Also: Amundi fined for index manipulation; Wells pays out over client fraud. Data by ORX News
Citi clearing head departs for crypto firm
Senior departure is latest among swaps giant’s clearing ranks
US mutual funds’ crypto holdings doubled to over $1bn in Q1
BlackRock and MSIM are among 16 US fund managers dipping their toes into crypto investing
Competition may be coming to crypto ETP market-making
Flow Traders makes markets in every European cryptocurrency ETP. Banks want in on the action
Crypto market structure pushing institutions towards synthetics
Risk Live: Credit risk and custody challenges with spot could push investors to derivatives and ETPs