Our take
Fake data can help backtesters, up to a point
Synthetic data made with machine learning will struggle to capture the caprice of financial markets
US Treasuries: a venerable market in need of fresh thinking
The world’s most important market has evolved ad hoc; bringing order to it will be no small task
How Credit Suisse fell victim to its own success
Roots of Archegos loss can be traced to business strategy the bank embraced back in 2006
The Giancarlo spirit: wobbling but not falling
The burden of US extraterritoriality rules may be easing
For EU banks, there can be no ‘back to normal’
The ECB’s recent review of risk models shows lenders got it all wrong pre-pandemic
Games of hazard: NSCC’s margin waiver sets bad precedent
By waiving a $2.2 billion cash call for Robinhood, members worry the NSCC may have dug itself a trap
What good are risk disclosures anyway?
Regulatory filings and shareholder reports offered no heads-up of Archegos’ troubles
Rough volatility’s steampunk vision of future finance
Some of the trickiest puzzles in finance could be solved by blending old and new technologies
A look at future exposures, through a 19th century lens
Can a centenarian maths idea speed up the calculation of forward sensitivities?
Too much of a good thing? Banks mull over excess deposits
Surge in non-operating deposits leaves banks with a severe hangover
NSFR may clear up questions about Nomura’s balance sheet
The risks of off-balance sheet financing remain largely hidden from view
Put options power up variable annuities
Insurance quants increase risk-adjusted profits using novel hedging technique
Op risk managers could be Covid long-haulers
New threats sprang from old sources in this year’s Top 10 op risks, belying a big drop in losses
Italian job: the real UK stock trading heist
Italy has not been seen as a candidate to pick up business from the UK – until now
A European watchdog with more bark than bite
The European Central Bank’s soft approach could be storing up trouble for the future
March’s clearing failures give new life to an old idea
Futures industry snubbed chance to build post-trade utility before. Now, it really needs one
Putting the H in XVAs
Barclays quant proposes methodology for factoring hedging costs into derivatives valuations
Why US dollar Libor spreads may be mispriced
Fallback spreads for all currencies could be fixed together, even if some benchmarks survive past 2021
Fed stress tests find critics on all sides
Conflicting results fuel arguments over dividends and buybacks
Setting boundaries for neural networks
Quants unveil new technique for controlling extrapolation by neural networks
25 years of Asia Risk
As the region continues to undergo major changes, we look to what the future may hold
Degree of influence: volatility shakes markets and quant finance
Volatility and machine learning were among the top research areas for quants this year
Fallback dodgers walking a difficult path
Firms avoiding signing the Isda protocol will face challenges, say industry figures
EU banks and state-backed loans: bad news with a long fuse
EU banks face a time bomb as public guarantee schemes expire next year