Financial markets
We need to talk about pre-hedging
Dealers claim it’s a vital tool for managing risk. Clients say it’s open to abuse. How should regulators treat the problem child of financial markets?
Fleeting volatility vexes trend followers
Jumpy markets give quant firms the jitters as tried-and-tested strategies struggle in 2023
US banks’ stress-test projections stray further from Fed’s in 2023
Average gap between Fed- and bank-estimated depletions more than double from previous two DFASTs
Markets regulatory reporting system of the year: S&P Global Market Intelligence Cappitech
S&P Global Market Intelligence Cappitech has been awarded Markets regulatory reporting system of the year at the Risk Technology Awards 2023, highlighting the company’s commitment to meeting the industry’s needs in markets regulation
DFAST mortgage loss rate doubles 2022 figure
At $6.9bn, JP Morgan would bear brunt of losses, according to Fed projections
Five banks lowballed loan losses in latest DFAST
Banks project $23bn smaller hit to loan portfolios, with Wells Fargo and Citi the most off-target
Citi’s stress-test estimates out of sync with Fed’s
Bank lowballed capital hit in DFAST 2023 more than any other US systemic lender
Making banks investible again after this year’s turbulence
Following the failure of four US banks and the bail-in of Credit Suisse, panellists at Risk Live Europe discussed the market outlook and whether reform is needed
In DFAST, banks clear 4.5% minimum but breach all-in buffers
Forty-three percent of participants would have seen capital plans rejected under pre-2020 CCAR regime, up from 30% last year
Trading robots and financial markets trading solutions: the role of experimental economics
The authors investigate and summarize experimental studies on automated trading strategies in financial markets.
Unrealised losses down but not out in latest DFAST
Bank of America would emerge from Fed’s scenario with $22 billion net AOCI gain
D-day for the rates market: solving the outstanding issues in US Libor transition
The next months will determine how rates markets cope with the death of Libor. With transition efforts approaching D-day, experts discuss the issues facing the market, the progress made so far and the outstanding issues facing the ‘new look’ rates market…
Counting down to dollar Libor transition
In a Risk.net webinar, experts discussed the impact of market volatility on Libor transition, the availability of term SOFR, developments in non-linear markets and management of forthcoming CCP conversions
Stemming the tide of rising FX settlement risk
As the trading of emerging markets currencies gathers pace and broader uncertainty sweeps across financial markets, CLS is exploring alternative services designed to mitigate settlement risk for the FX market
An uphill climb to T+1 settlement
The SEC is pushing an aggressive schedule for faster settlement of equities and corporate bonds
Can algos collude? Quants are finding out
Oxford-Man Institute is among those asking: could algorithms gang up and squeeze customers?
FTX’s Mifid licence exposes Europe’s regulatory gaps
Could Cyprus have spotted the warning signs before handing FTX the keys to European customers?
GFMA mulls FX determinations committee
Creation of CDS-style board is one option on the table for managing forex market disruption events
No link between geopolitical risk signals and returns – hedge fund
Gauges of geopolitical risk are better at predicting volatility than equity returns, research from XAI finds
Risk modelling: Covid’s impact on US housing and mortgages
The Covid-19 pandemic has reshaped consumer behaviour to an extent surpassing the impact of the global financial crisis that began in 2007–08. This fact, combined with drastic policy changes by the US federal government, has effects on financial markets…
Rethinking regulation of the modern financial system
Rules must address uncertainty and risks, and not be too complex, says Bank of Italy's Trapanese
People moves: JPM’s quant shuffle, NatWest hires Solanki, and more
Latest job changes across the industry
The future is now: how data science is revolutionising risk management and finance
This webinar explores how your organisation can move beyond legacy technology, better meet investor demands and remain competitive by embracing the future of finance.
Asia moves: Citi and HSBC make senior hires, and more
Latest job news from across the industry