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View everything you need to read about this year’s Risk Awards – announced last night – in one handy place: hubs.li/Q03VXx0d0
Tomorrow’s Quants: the “ability to put things in a simple context at the level of the [non-hardcore-quant] listener is super important” – Petter Kolm, Courant Institute, NYU hubs.ly/Q03VWY8C0
Listen now to a conversation with Courant Institute’s Petter Kolm – joint winner of Risk’s buy-side quant award this year. hubs.li/Q03W6S7-0
Comment: IMA is at risk of becoming divorced from internal risk management, violating a fundamental principle of a sound capital model – the ‘use test’ hubs.li/Q03VXhjc0
A trader at one large dealer describes Safran as “famously active” in the FX options space, noting that it is “one of the most active vol users in the market” hubs.li/Q03VN0lb0
Dealers say multilateral compression for USD/CNH cross-currency swaps at HKEX OTCC could help relieve growing reg pressures hubs.li/Q03VM_rm0
Steve Wang looks at why CVA RWAs rose so sharply & surpassed market risk RWAs as the driver for changing capital requirements during Covid hubs.li/Q03W2hFz0
Hedge funds remain cautious on yen interest rates trades hubs.li/Q03W2jS30
XVA Benchmarking study: several large dealers refraining from investment in new optimisation tools due to uncertainty over the final shape of US capital requirements hubs.li/Q03VBYLR0
Comment: IMA is at risk of becoming divorced from internal risk management, violating a fundamental principle of a sound capital model – the ‘use test’ hubs.li/Q03VXhTt0
Listen now to a conversation with Courant Institute’s Petter Kolm – joint winner of Risk’s buy-side quant award this year. hubs.li/Q03W6NNL0
FCMs reported their smallest combined capital surplus as a proportion of requirements in more than a decade in September hubs.li/Q03W5WWv0
Tomorrow’s Quants: the “ability to put things in a simple context at the level of the [non-hardcore-quant] listener is super important” – Petter Kolm, Courant Institute, NYU hubs.ly/Q03VWWSQ0
Aircraft parts supplier Safran Group has emerged as arguably the biggest corporate user of FX options hubs.li/Q03VMZMS0
US and Qatar threats to limit LNG supply if planned new EU rules are not rolled back is creating uncertainty for energy firms hubs.li/Q03W2lnm0
Hedge funds have reduced their risk in yen interest rates trading after October’s election of Sanae Takaichi led to stop-outs and estimated losses of more than $300 million hubs.li/Q03W2jYz0
Steve Wang looks at why CVA RWAs rose so sharply & surpassed market risk RWAs as the driver for changing capital requirements during Covid hubs.li/Q03W2hnB0
US systemic dealers held a record $95 billion of OTC derivatives collateral in the form of equities as of end-September hubs.li/Q03W1wF_0
The largest counterparties for complex FX options are typically the leading multi-strategy and macro hedge funds. But there is one corporate whose use of FX options is so extensive that it is connected to most of the top dealers on the Street hubs.li/Q03VMZxy0
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