Data
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
Covid scenarios, pt II: apocalypse how?
Second crowd-sourced scenario exercise reveals polarised views in equities and FX
Ratings can still sharpen credit risk picture
Study shows even the most modern default models benefit from adding credit rating information
Risk data repository of the year: NeoXam Singapore
Asia Risk Technology Awards 2020
Vendor for system support and implementation of the year: Finastra
Asia Risk Technology Awards 2020
ETF provider of the year: Yuanta SITC
Asia Risk Awards 2020
Power surge: the value of investing in renewables
Energy market expert investigates ways to forecast future power prices and capture rates in order to value renewables PPAs
Neural networks for option pricing and hedging: a literature review
This paper provides a comprehensive review of the field of neural networks, comparing articles in terms of input features, output variables, benchmark models, performance measures, data partition methods and underlying assets. Related work and…
Common domain model needs infrastructure push, says Barclays
Bank wants market infrastructures to drive adoption of Isda CDM