Inflation
Banks temper credit loss models by editing Covid narrative
Faced with geopolitical chaos and signs of recession, expected credit loss models need to adapt fast
Amid macro storm clouds, a silver linings playbook for fintech
Banks and VCs believe inflation and rising interest rates will result in winners as well as losers
When stagflation looms, investors get no satisfaction
In a toxic inflation-stagnation mix, conventional trades and hedges falter; alternatives are unproven
US mutual funds retreat from inflation hedges
Counterparty Radar: Volumes down 44% as Pimco slashes positions; Western Asset and JP Morgan buck the trend
HSBC inflation head departs
Dariush Mirfendereski leaves UK bank after nine years
Risk culture 2.0: redefining attitudes and behaviours in an era of change
The world is a very different place than it was prior to the Covid-19 pandemic. From changing work patterns and operational change to geopolitical tensions and rampant inflation, risk departments have never been under so much pressure
Don’t just reach for the ’70s inflation playbook – CROs
Lack of inflation experience on risk teams not a concern, buy-siders say
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