Data
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
Botched copy: Esma delivers cut and paste pastiche of Trace
Mifid transparency mishmash misses key aspects of US system it emulates, say dealers
IFRS 9 product of the year: AxiomSL
Asia Risk Technology Awards 2020
OCC warns on cyber and fraud control lapses during Covid
OpRisk North America: Covid-induced changes in operations and working practices creating openings for bad actors, says senior regulator
Solving the SFTR data challenge
Europe’s new rules on securities financing transactions require firms to collect and report a mass of new data. This is a challenge, but also an opportunity
Science friction: some tire of waiting for quantum’s leap
Use cases for new tech are piling up – from CVA to VAR. But so are the obstacles
Work needed on China financial reforms, says Liu Mingkang
Asia Risk 25: ex-head of China’s banking watchdog urges “rigorous” changes as country opens up to foreign investors
Alt data aims to shake up credit scoring business
Young firms, using machine learning methods to scrape consumer info, challenge established agency model
Fund managers seek to plug holes in ESG data
Social intel proves elusive as virus reawakens sense of corporate virtue
Buy side confronts dealers over unreliable bond prices
Investors are quantifying the quality of indicative prices and banding together to tackle the issue