Bonds
Libor may linger as regulators ‘change tune’
CFTC and FCA suggest benchmark could be kept alive to avoid cash market chaos
Bond trading dominates EU bank market risk
Traded debt position risk accounts for 60% of market risk capital requirements
A fifty-year retrospective on credit risk models, the Altman Z-score family of models and their applications to financial markets and managerial strategies
This paper reflects upon the evolution of the Altman family of bankruptcy prediction models, as well as their extensions and multiple applications in financial markets and managerial decision making.
Japan’s term RFR toil may mean bigger Tibor role
Derivatives-based methods for constructing curve challenging amid negative rate environment
Libor fallbacks set to split cash and swaps
Basis could appear when benchmark dies, with swaps, bonds and loans embracing different fallbacks
New directions – Diversification of alternative risk premia strategies
Despite a difficult year, investors remain keen to use alternative risk premia strategies. However, current approaches may be less diversified than they appear, especially given cross-contamination in cash equity factors. According to Nomura, a more…
Law firm of the year: Linklaters
Risk Awards 2019: Linklaters at forefront of major changes to OTC derivatives market
As Brexit looms, Mifid transparency faces the chop
EU law and equivalent UK draft threaten to split and undermine trade disclosure rules
Growing an institutional footprint in Asia’s ETFs market
Hong Kong Exchanges and Clearing (HKEX) explores the burgeoning impact of institutional investors in Asia’s exchange‑traded funds (ETFs) market – which is demonstrating the potential to establish itself as a global force – with a focus on the rapid…
How to stress-test portfolios for Brexit and trade wars
Options markets point to likely market moves in different scenarios, write StatPro risk specialists
Jump: inside the secretive e-trading giant
Execs at the Chicago prop firm wish the whole world was a Clob, but as bilateral volumes rise, they’ve decided to go with the flow
Korean insurers shun structured notes ahead of IFRS 9
Prospect of earnings volatility blamed as big buyers of notes turn to less exotic assets
Asia embraces intelligent automation
Asia’s adoption of new tools and processes has gained significant momentum, with increased automation now a primary focus for many financial firms. Paul Worthy, head of Japan at Tradeweb, explores how this change has come about, and how firms can use the…
Term versions of RFRs will work – FCA official
Schooling-Latter backs plan to build curve from swaps and futures; others have doubts
Own goal: Mifid II reduces transparency in some EU markets
New rules replace voluntary arrangements in ETFs and Nordic bonds, fragmenting post-trade data
Poor Mifid data could condemn OTC market to the dark
Many derivatives likely to fail first full liquidity test and escape EU transparency obligations
Commerzbank VAR jumps on Italian turmoil
Sovereign bond yield spike hits public finance portfolio
Generali weathers Italian bond turbulence
Solvency II SCR ratio dips to a still lofty 201% in the first half
New frontiers
Innovative investment opportunities are helping to mitigate risk and satisfy Solvency II capital requirements as insurers face continued economic uncertainty. Frederic Morlaye, managing director, insurance and capital management solutions, Global Markets…
EU trading venues warn over looming end of LEI relief
Expelling issuers with no legal entity identifiers could hurt liquidity and investor strategies
UK bank funding costs spike in Q1 – BoE
Total term debt issuance is around 60% higher this year to date than at the same points in 2016 and 2017
Podcast: Richard Martin on EM debt, copulas, machine learning
Quant sceptical of machine learning algos and black boxes
Emerging market corporate bonds as first-to-default baskets
Modified Merton model offers insights on EM corporate debt