Equities
Turning the IMA into a competitive advantage
Following the clarification of the FRTB rules in January 2019, financial institutions are now working towards a 2022 implementation deadline, finalising how their trading books will operate under this demanding regulation. Eoin Ó Ceallacháin, head of…
Alternative Liquidity Measures
Is book depth a sufficiently representative measure of market liquidity? A look at trade matching performance under different market volatility environments
All along the watchtower – Surveillance tools against market abuse
Surveillance tools against market abuse are enjoying a technological revolution in analytics, while anxious supervisors are also closing in on market practices. Risk.net hosted a webinar in association with NICE Actimize to analyse the threats and…
Making technology count in a C/ETRM world
As businesses grow, so does their need for modern, agile and cost-effective commodity/energy trading risk management (C/ETRM) solutions. Pioneer Solutions explores how its next-generation, highly configurable C/ETRM systems take advantage of the latest…
US G-Sibs build capital even as shareholder windfalls surge
The eight large US banks return more than $30 billion to equity holders
Asset-backed securities swell Wells Fargo's revenues
Non-agency RMBS sales power $125 million of net gains on debt securities
Podcast: Ronn on using a financial-economics approach to forecast crude oil spot prices
Professor of finance talks about using equity, index and crude oil options to forecast spot prices
Autocall concentration weighs on dealers
Hedging headaches force issuers to seek new structured product blockbusters
Japan looks to DLT to combat rise in settlement fails
Decision to shorten settlement cycle likely to hike fails caused by confirmation mismatches
Incorporating volatility in tolerance intervals for pair-trading strategy and backtesting
This paper incorporates volatility forecasting via the exponentially weighted moving average model into traditional tolerance limits for pair-trading strategies, and illustrates how the proposed method helps uncover arbitrage opportunities via the daily…
Capturing alpha in Asia’s ETF market – Trends to watch in 2019
As the inclusion of China A-shares into major indexes could potentially lead to record inflows into China, 2019 is set to be an exceptional year for the Asian exchange-traded funds (ETFs) market. Meanwhile, investors in the region are increasingly eyeing…
Derivatives assets soar at eurozone insurers
Surge in values near year-end hint at hedging gains
US G-Sibs’ VAR-based charges jump 23% in Q4 2018
On aggregate, the eight G-Sibs posted a VAR-based capital charge of $2.9 billion
Asia moves: Natixis equity derivatives head departs, new banking head for JP Morgan, and more
Latest job changes across industry
Equity risk amps up Citi’s VAR charges
Requirements connected to equity positions jumped 49% quarter-on-quarter
Banks rocked by U-turn on FRTB equity risk weights
Risk managers warn of higher capital charge after Basel reverts to original 2016 treatment
Data mining, machine learning and problems with autocalls
The week on Risk.net, January 19–25, 2019
Transition management provider of the year: Northern Trust
As pension plans increasingly focus on the underlying costs and fees involved in managing their money, opportunities for transitions have shifted. Northern Trust is standing out by offering customised transition solutions for clients and stakeholders in…
Asia moves: Nomura boosts Asia ex-Japan, Bank of America picks two Apac co-heads, and more
Latest job changes across industry
Extending the ETF frontiers: Institutions are finding new ways to use ETFs
Growing institutional adoption of exchange-traded funds (ETFs) has been an undeniable trend over the past few years. In this article, Hong Kong Exchanges and Clearing (HKEX) explains why institutions are increasingly using ETFs to gain targeted exposure,…