Data
BoE calls for changes to regulatory reporting
Current reporting methods are too costly and produce “crap data”, senior official says
Bayesian nonparametric covariance estimation with noisy and nonsynchronous asset prices
This paper introduces a Bayesian nonparametric method to estimate the ex post covariance matrix from high-frequency data.
Stock-level ‘inelasticity’ explains ESG boom, research says
Reluctance of ESG investors to sell holdings is pushing prices even higher
Firms doubt benefits of EU Mifid best execution reform
Esma proposal retains unpopular aggregated reporting; bankers want more cost-benefit analysis
Banks warn it’s too early for an OTC swaps consolidated tape
Market participants say Isin difficulties need to be resolved in order to create a usable tape
Bank consortium seeks to cure post-trade data ills
Project led by Societe Generale uses privacy-enhancing technologies to tackle data management problems
FSB debates how to fit climate risk into capital rules
Regulators ponder whether climate risk needs new RWAs or recalibration of existing ones
Quant funds tackle chronic overfitting in crypto strategies
Firms adapt backtests and tread lightly to address “huge” overfitting risk, magnified by scarce data
Banks lure FX algo sharks into shallow waters
Sick of losing out to predatory HFTs, dealers are trying to create liquidity pools they can trust
New China data law threatens KYC efforts
Local banks will need permission to export any data that could end up in the hands of foreign law enforcement bodies
The market data vending machine: pros and cons of self-service
Some brokers and exchanges are allowing clients to choose data and services on an à la carte basis
New BoE climate risk scenarios spark race for extra data
Banks need information from clients or third parties to populate 1,760 stress test variables
UK aims to beat EU in Mifid swaps reporting stakes
UK follows up proposed EU solution to confusion over post-trade transparency with its own fix
The need for share data as firms invest in large volumes of equities internationally
Russell Ironside, pricing and reference services propositions manager at Refinitiv, discusses what is driving the need for more data in the area of shareholding disclosure
The pitfalls of out-of the-box surveillance
In the Covid-19 era and beyond, surveillance is and will be complex and ever-evolving. For a surveillance programme to be effective, it must be able to process increasing volumes of data, integrate that data across multiple platforms and devices, and…
Risk managers urge consolidation of climate scenarios
Converging financial and corporate scenarios would provide better data for stress-testing
Connected data for financial services
Unlocking hidden value in market and reference data across the organisation
Green figures: EU funds search for sustainable taxonomy data
Fund managers must report compliance with taxonomy before many investee companies
Market’s mystery jumps might be predictable after all
Endogenous volatility has a tell-tale pattern, quants find
The art of effective market risk management during a period of transformation
This white paper takes a current view of market risk management, its growing complexity and how it can be transformative to institutions as the industry is widely recognising what are the right approaches to addressing evolving risks.
Quant fund aims to tame bitcoin, and 39 other digital assets
Ex-Morgan Stanley, Winton vets reimagine institutional risk management for volatile crypto markets
Goldman inks modelling, data tie-up with MSCI
Move to cross-sell risk analytics could herald further content deals for bank’s Marquee platform, says sales chief
Insider fraud – Getting security and controls right
Even prior to the Covid-19 pandemic, insider threats were reported to be increasing with 48% of firms indicating that incidents were on the rise within their organisations. Where are so many firms going astray?