Data
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
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
Credit risk rethought – The new data imperative
The Covid‑19 pandemic has caused a seismic shift in the world of credit risk analysis. As pressure mounts on business leaders, regulators and governments, the demand for robust, reliable, forward-looking credit risk information is at a premium. Faced…
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 crowdsourced 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