Inflation
Nationwide’s IRB charges up 89% on PRA’s parameter curbs
The building society’s strict focus on mortgages meant impact was all-sweeping
Lazard and Pimco profit from shorting Hong Kong dollar
Repeat interventions from HKMA fail to revive a currency under pressure from rising US rates
Euro, Swiss swaps trading jump on rate hike chatter
Highest weekly volumes since at least 2020 as ECB and SNB gear up for policy change
SwapClear incurs record number of margin breaches
LCH’s interest rate derivatives clearing service reported over 4,000 backtesting exceptions in Q1
‘Trend’ triumphs in uncertainty, but not as it wanes – study
Quant investing approach thrives in extremes of market uncertainty; calm hinders it
Inflation scenarios, pt II: end of the party
Whether inflation rises or falls, crowdsourced scenarios forecast huge range of outcomes
Revival of FX carry strategy leaves quants unconvinced
Record returns in March give little comfort that strategy is ‘back’
NatWest’s market RWAs up 8% on higher VAR multiplier
Bank incurred regulatory backtesting exceptions amid heightened market volatility
Hedging inflation may never have been trickier
Effective hedging depends on what’s causing prices to rise
What drives the convertible bond market?
Dmitry Pugachevsky, director of research at Quantifi, provides an overview of the burgeoning convertible bond market, including approaches to modelling and its outlook in the current inflationary environment
Stocks and bonds start to move in step, making quants jittery
Long-established inverse correlation between asset classes breaks down during first quarter
EU banks racked up VAR breaches in 2021
Crédit Agricole and ING Bank hit with higher multipliers after exception count rises
Russian invasion stirs up ‘perfect storm’ for XVA desks
Declining credit quality of Russian companies and spike in inflation threaten CVA and FVA double-whammy for banks
US rate caps under strain amid volatility surge
Market uncertainty hits liquidity in options on swaps, dealers say
Aaron Brown: war could usher in new sanctions era, hurting US
Investors must think long-term, warns risk expert; west may lose out to crypto and new financial hubs
How do you solve a problem like the lira?
Asset managers diverge in their approach to managing Turkish currency turmoil as FX hedging costs soar
How PGGM made 11% a year selling credit protection to banks
Dutch investor expects returns to drop over time unless rising inflation widens risk premia
Foreign banks flocked to Treasuries and Fed in Q3
Claims rose at fastest annual pace since early pandemic amid inflation jitters
Fears over strong dollar put Asia’s hedgers on edge
Local corporates look to manage US dollar exposures in response to inflation and Fed tapering concerns
Interest rate ETD volumes drop in Q3
Shorter-dated contracts led the way, falling 9% quarter on quarter
People moves: Quarles quits Fed, CS credit team exodus continues, and more
Latest job changes across the industry
Buy-side rates traders staying on sidelines after wild October
Funds cautious after staggering collapse of the year’s steepener trade
Prudential CRO: markets haven’t priced in tail risks
Risk USA: distribution of extreme outcomes “has gotten broader and wider”, says Nick Silitch
Inflation scenarios: tail risks loom for US equities
Portfolios could lose more than one-third of their value if inflation stays high, suggests crowdsourced scenario exercise