Data
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
Research on listed companies’ credit ratings, considering classification performance and interpretability
This study uses the correlation coefficient and F-test to select the initial features of a credit evaluation system, and then a validity index for a second selection to ensure that the feature system has the optimum ability to discriminate in determining…
UK seeks to take the lead on climate risk standards
New research centre intended to help UK financial firms build better climate risk models
The impact of energy costs on industrial performance: identifying price and quantity effects in the aluminum industry using a data envelopment analysis approach
The authors build a frontier function model with technical and cost efficiency measures to assess the impact of energy costs on competitiveness in the aluminum industry, a heavy energy consumer, by identifying what may be attributed to price and quantity…
My kingdom for the right copula
Copulas can still deliver if chosen with due attention to intuition and data, says quant fund chair
People moves: new CRO at LCH, changes at Natixis investment bank, and more
Latest job changes across the industry
Banks boot up next-gen FX hedging bots
Automated FX hedging can save money and time, proponents argue. But corporates have qualms
Quants say they can fix value’s broken ratio
Price-to-book metric can be tailored to the new economy, researchers believe
Model misfires raise questions over training data
Quants wrestle with how far into the past their machine learning models should peer
Zooming in on equity factor crowding
A measure for crowding in trades is derived from supply and demand imbalances
Energy Risk Asia Awards 2020: The winners
BNPP wins top derivatives award, with Macquarie scooping environmental products house
BoE warns banks: start preparing for a higher carbon price
Risk Live: stress tests should assume rising carbon price, regardless of government policy, says Breeden
Op risk data: Firm-wide control fails cost Citi $400m
Also: Deutsche draws fire and AML fine over Danske trades. Data by ORX News
Risk Technology Awards 2020: Managed support services provider of the year – Exactpro Systems
Co-founder and chief executive of Exactpro Systems, Alexey Zverev, discusses the challenges of maintaining client systems in the current environment, the launch of its new open source microservices-based test automation platform, th2, and how machine…
Botched copy: Esma delivers cut and paste pastiche of Trace
Mifid transparency mishmash misses key aspects of US system it emulates, say dealers