Equities
JP Morgan’s fixed income VAR dives 69%
Average trading VAR down 59% over the previous quarter
Banks and HFTs team up to solve exchange outage dilemma
Hopes that ‘gentlemen’s agreement’ can break first-mover disadvantage for liquidity providers
Euronext’s tech migration sprint alarms electronic traders
Co-location users sound warning on plan to chop two years off data centre move from UK to Italy
How algos are helping inflation-wary investors
Buy-siders look to machine learning for clues on the effect of rising prices on portfolios
EC drafting proposal for derivatives consolidated tape
Commission official says beta version ready for testing in 2023 will also include equities, bonds and ETFs
Green figures: EU funds search for sustainable taxonomy data
Fund managers must report compliance with taxonomy before many investee companies
Asia moves: Deutsche appoints Asia-Pacific treasurer, Citi boosts Australian sales team, and more
Latest job news across the industry
Investment flow tracking is next ‘frontier’ for alpha
Risk Live: Flows impact asset prices more than widely believed and may be more predictable – quants
Could an Archegos blindside banks in Europe? Not really
Archegos’ banks were burnt by its hidden US swaps – in much of Europe, they would have to be public
Is short vol taking the long count?
Short volatility players try to box clever after strategy’s Covid rout
Core systemic indicators at HSBC blinked higher in 2020
Underwriting indicator increased over 30%
‘Crypto Dad’ Giancarlo says DLT could have aided in Archegos
Former CFTC chair says managing collateral by distributed ledger technology would enable better oversight of risks
ESG derivatives – From equity to fixed income and beyond
In a Risk.net webinar convened in association with Eurex, panellists discuss the rising demand for and their own experiences of using and developing ESG derivatives, their views on future developments and the challenges of growing the market
Games of hazard: NSCC’s margin waiver sets bad precedent
By waiving a $2.2 billion cash call for Robinhood, members worry the NSCC may have dug itself a trap
Users clash with ASX over changes to its DLT settlement system
Industry groups and tech experts worry that proposed last-minute changes will introduce new risks
Hero or villain? NSCC draws fire for Robinhood margin waiver
Fears of moral hazard after CCP waives billions in margin demands following meme-stock volatility
Refuge of ‘chancers’: Spacs draw criticism from big investors
Poor disclosure, sub-par returns and share dilution are highlighted as risks of so-called ‘blank-cheque’ companies
Goldman, Morgan Stanley led US dealers on equity swaps in 2020
Overall equity derivatives notionals at Goldman hit $2.08 trillion at end-2020
The volatility paradigm that’s stirring up options pricing
‘Rough volatility’ models promise better pricing and hedging of options. But will they catch on?
Some dealers are much cheaper than others; now you know who
New system will name the three cheapest dealers for liquid securities and show how much they cost
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
All roads lead to Bergamo: Euronext eyes new home for its tech
Market participants fear a “horrible” relocation project and more room for latency arbitrage
UK snuffs out hopes of end to midpoint trading ban
Financial Conduct Authority resists calls to diverge from EU’s tick size regime
Equity derivatives house of the year: Citi
Risk Awards 2021: US bank vaults into the top-tier, with some help from Garry Kasparov