Current reporting methods are too costly and produce “crap data”, senior official says
This paper introduces a Bayesian nonparametric method to estimate the ex post covariance matrix from high-frequency data.
Reluctance of ESG investors to sell holdings is pushing prices even higher
Esma proposal retains unpopular aggregated reporting; bankers want more cost-benefit analysis
Market participants say Isin difficulties need to be resolved in order to create a usable tape
Project led by Societe Generale uses privacy-enhancing technologies to tackle data management problems
Regulators ponder whether climate risk needs new RWAs or recalibration of existing ones
Firms adapt backtests and tread lightly to address “huge” overfitting risk, magnified by scarce data
Sick of losing out to predatory HFTs, dealers are trying to create liquidity pools they can trust
Local banks will need permission to export any data that could end up in the hands of foreign law enforcement bodies
Some brokers and exchanges are allowing clients to choose data and services on an à la carte basis
Banks need information from clients or third parties to populate 1,760 stress test variables
UK follows up proposed EU solution to confusion over post-trade transparency with its own fix
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
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…
Converging financial and corporate scenarios would provide better data for stress-testing
Unlocking hidden value in market and reference data across the organisation
Fund managers must report compliance with taxonomy before many investee companies
Endogenous volatility has a tell-tale pattern, quants find
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.
Ex-Morgan Stanley, Winton vets reimagine institutional risk management for volatile crypto markets
Move to cross-sell risk analytics could herald further content deals for bank’s Marquee platform, says sales chief
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?