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Op risk data: Firm-wide control fails cost Citi $400m
Also: Deutsche draws fire and AML fine over Danske trades. Data by ORX News
Strengthening supervisory co-operation in derivatives markets
Heath Tarbert and Jon Cunliffe set out a framework for regulating the global derivatives markets
Whales or minnows? Sizing up crowded trades
Strategies for measuring crowding in trades can help to avoid its effect, writes quant fund founder
Op risk data: Record $920m fine for JP metals ploy
Also: counting the cost of Covid cons; Citi audio dynamite. Data by ORX News
Quants are key to judicious ESG
Meaningful data analysis critical to future of socially responsible investing, writes Antonia Lim
Don’t blame HFT: plug liquidity gaps for market stability
Dynamic fees could incentivise liquidity when and where it’s most needed, writes quant fund founder Bouchaud
Bank resolvability in the time of Covid
We will balance flexibility and resilience, says director of EU’s Single Resolution Board
Op risk data: Revlon lenders won’t make up over Citi error
Also: Cyber fines on the up; and more fat-finger fails of yore. Data by ORX News
The unintended impact of swap stays on financial stability
In a world where swaps leverage is shrinking, bankruptcy stays could do more harm than good, says economist
Valuing scenarios with real option pricing
Risk managers could use Black-Scholes to help drive strategy, writes René Doff
To make sense of complex systems, send in the agents
Standard quant models cannot comprehend a radically complex reality, writes Jean-Phillippe Bouchaud
Op risk data: Goldman 1MDB settlement swells 2020 loss tally
Also: Deutsche fined over Epstein KYC failings; collateral fraud in focus. Data by ORX News
Op risk data: Losses plummet during lockdown
Also: Wirecard dominates legacy losses; SEB hit with massive AML fine. Data by ORX News
Swaps data: initial margin soars in Q1 2020
Model procyclicality drives wide variation in CCP IM hikes through Covid-19 volatility
Why a European bad bank may not be the right answer
Types of loans most likely to become distressed due to coronavirus don’t suit EU-wide solution
Power surge: the evolution of PPAs
In the first of a series analysing the financial risks of renewable energy, Cyriel de Jong looks at key developments in the power purchase agreements market
Beware of cliff edge in Libor fallbacks
Derivatives users may see a sudden change in the value of payoffs when Libor ends, Coremont analysts write
Sometimes it’s fine to be boring
Diversification puts portfolios in the middle of the pack – where investors feel safe, writes Antonia Lim
Scared of fallen angels? So are the rating agencies
Data shows rating agencies more reluctant to downgrade firms at the investment-grade boundary
Op risk data: Morgan Stanley falls foul of Dutch tax office
Also: JP Morgan settles crypto fees class action; banks debate Covid-19 scenarios. Data by ORX News
Collateral must be part of monetary policy equation
Incorporating collateral efficiency into IS-LM model reveals side-effects of QE
Credit data: coronavirus takes toll on corporates
Financials weathered the first phase of the lockdowns, but most other sectors were hit hard
Now is not the time to change the rules on CCP resolution
FSB overstepping brief by putting CCP operators’ equity on the hook in resolution, writes former CFTC chair
Swaps data: record trading volumes in March
CDS activity doubles through Covid-19 turbulence, while US interest rate swap trading marks new high, writes Amir Khwaja of ClarusFT