Data
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
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?
Grasping new technologies is a key challenge for energy risk managers
Understanding what new technologies offer is a top challenge for energy risk managers, survey finds
Swipe left: repo reporting no match for Brexit, or collateral
A happier start than Emir, but SFTR honeymoon is over now that trades report separately in UK and EU
Esma plan ‘won’t help’ fix Mifid swaps data problem
Dealers say proposal to force disclosure of all big-bank OTC derivatives trades won’t improve data
EU banks fret over mismatches on ESG disclosure rules
Different timelines for banks and their clients could stymie comparisons between banks
Modeling realized volatility with implied volatility for the EUR/GBP exchange rate
This paper concerns the application of implied volatility in modeling realized volatility in the daily, weekly and monthly horizon using high-frequency data for the EUR/GBP exchange rate.
Rough volatility’s steampunk vision of future finance
Some of the trickiest puzzles in finance could be solved by blending old and new technologies
Efficient representation of supply and demand curves on day-ahead electricity markets
The authors model the supply and demand curves of electricity day-ahead auctions in a parsimonious way by building an appropriate algorithm to present the information about electricity prices and demand with far fewer parameters than the existing…
Funds breathe out as EU regulators ease ESG data rules
Majority of mandatory indicators become optional in final draft of sustainability regulation
Nowcasting networks
The authors devise a neural network-based compression/completion methodology for financial nowcasting.
Top 10 op risks 2021: theft and fraud
Changes in working practices since Covid shift angle of criminal attack on financial institutions
Italian job: the real UK stock trading heist
Italy has not been seen as a candidate to pick up business from the UK – until now