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US dealers wade into European CCP relocation debate
CFTC hearing warns of increased margining costs and a pre-Brexit client onboarding crunch
Lawyers divided over Isda’s China netting memo
New legal guidance spells out how close-out netting may be achieved, but critics say it’s impractical
OCC warns on cyber risks from subpar patches at US banks
Regulator says banks have good track record overall, but exams reveal weaknesses
Latest
Quotes
[The capped contingent liquidity facility] is an outlay of capital that is never going to be tapped into, and it’s not prudent business
Repo head at a European bank, on the DTCC’s CCLF proposal
If you have different instrument prices, TOTV [traded on a trading venue] becomes more challenging and a bit like a lottery
Market structure expert at a global investment bank
There is a significant lack of clarity and it’s raising more questions than answers
Amit Deshpande, Charles Schwab Investment Management, on the SEC’s new liquidity management rules
Editors' choice
Quants head for the shop floor
Demand for technical skills is growing, but roles have changed – and some schools are not keeping up
Big Figure
D-star is a force for good
Research firm CrossBorder Capital says ‘D-star’ – a hump in the US Treasury curve that reflects investor risk appetite – is a simple quantitative metric with the power to predict market implosions. It says the position of D-star can help predict key stress indicators such as the European Central Bank’s global risk aversion index, the Vix and spreads between AAA and BBB corporate bonds.
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Comment
The quant factory: not muppets, but not perfect
Solvency II model approvals: lessons from round one
Don’t let the SMA kill op risk modelling
Monthly credit data review: new-tech scepticism
Our Take
Focus on Basel output floor calibration misses the point
US learns to play the Basel game
Analyse this: the future for quants
The untapped potential of stress tests