Risk.netフィード

ジャーナル

• Analyzing credit risk model problems through natural language processing-based clustering and machine learning: insights from validation reports
• Machine learning prediction of loss given default in government-sponsored enterprise residential mortgages
• Forecasting India’s foreign trade dynamics: evaluation of alternative forecasting models in the post-pandemic period
• Forecasting the Volatility Index with a realized measure, volatility components and dynamic jumps
• Pricing high-dimensional Bermudan options using deep learning and higher-order weak approximation

アジア

• Best product for capital markets: Murex
• ASX member paid record $154m to cover dues in Q2
• LCH set to take CGBs as collateral
• Asia Risk Technology Awards 2024
• Energy Risk Asia Awards 2024: The winners

リスク管理

市場リスク

• Market risk solutions 2023: market and vendor landscape
• The new rules of market risk management
• ETF strategies to manage market volatility
• FRTB spurs data mining push at StanChart
• Asian privacy laws obstruct FRTB data pooling efforts

信用リスク

• Credit risk management solutions 2024: market update and vendor landscape
• Finding the investment management ‘one analytics view’
• Revolutionising liquidity management: harnessing operational intelligence for real‑time insights and risk mitigation
• Sec-lending haircuts and indemnification pricing
• XVAs and counterparty credit risk for energy markets: addressing the challenges and unravelling complexity

オペレーショナルリスク

• Integrated GRC solutions 2024: market update and vendor landscape
• Vendor spotlight: Dixtior AML transaction monitoring solutions
• Financial crime and compliance50 2024
• Automating regulatory compliance and reporting
• Investment banks: the future of risk control

流動性リスク

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ALMリスク

• ALM technology systems 2023: market update and vendor landscape
• Incorporating climate risk into ALM frameworks at banks
• ERM reboot: how leading insurers are turning risk decisioning into strategic advantage
• Incorporating climate risk into ALM frameworks for banks
• ALM and liquidity risk reporting greatly enhanced by big data applications

決済リスク

• Margin settlement risk and its effect on CVA
• CLS to replace core settlement system
• Netting no problem for blockchain, tech firms tell regulators
• Distributed ledger innovators imagine a world without CSDs
• Banks eye Traiana for EM forex netting service

デリバティブ

金利デリバティブ

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為替デリバティブ

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株式デリバティブ

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クレジットデリバティブ

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インフレデリバティブ

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コモディティデリバティブ

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ストラクチャード商品

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規制

バーゼル規制

• FRTB implementation: key insights and learnings
• Basel concession strengthens US opposition to NSFR
• Review of global bank rules no free-for-all, says Basel’s Tsuiki
• Pulling it all together: Challenges and opportunities for banks preparing for FRTB regulation
• EU lawmakers consider extending FRTB deadline

【US】ドットフランク規制

• US Treasury hands CCP resolution powers to FDIC
• Treasury review not rollback of reforms, says CFTC counsel
• Industry pushes CFTC to prioritise cross-border clarity
• Final US position limits rule will take ‘at least a year’
• Covered funds seen as starting point for Volcker rule reform

【EU】金融商品規制（MIFID）

• Esma guidance on swaps transparency still leaves questions
• Mifid II research unbundling hits Japan’s asset managers
• Mifid’s great race to the bottom
• Banks claim front-office content is safe from Mifid II
• MTF bilateral trading protocol offers Mifid arbitrage

【EU】OTCデリバティブ規制（EMIR）

• New Brexit carve-out urged for legacy EU cleared swaps
• Large corporates unconvinced by Emir reporting gift
• US dealers wade into European CCP relocation debate
• Doubts plague Emir reporting clean-up
• Emir reporting relief for ETDs causes confusion

【EU】ソルベンシー規制

• Lack of transposition to delay Mifid II enforcement
• Capital and funding
• Testing interest rate models for Solvency II applications
• Eiopa cuts matching adjustment risk margin
• Solvency II volatility dampener ineffective for euro periphery

資産管理

保険

• The future of life insurance
• 40% of insurers fail to specify climate as a key risk – LCP
• The insurance CRO agenda
• Cat risk: why forecasting climate change is a disaster
• Libor leaders: Prudential takes SOFR for a test drive

ヘッジファンド

• JP Morgan warns hedge funds to expect intraday margin calls
• Alternative markets give edge to Florin Court strategy
• Global macro views combine with quantitative models to produce consistent returns
• On the offensive – Seeking a new edge, buy-side invests in portfolio and risk analytics
• Asia Risk Congress 2017: Factor-based investing in emerging markets

コモディティ

エネルギー

• ETRM systems 2024: market update and vendor landscape
• CTRM systems 2024: market update and vendor landscape
• Energy Risk Commodity Rankings 2024: markets buffeted by geopolitics and economic woes
• Chartis Energy50
• Energy trade surveillance solutions 2023: market and vendor landscape

金属

• Interview: Can Matthew Chamberlain rescue the LME?
• Base metals dealer of the year: BNP Paribas
• Asia precious metals house of the year: Citi
• LME Clear ‘welcomes scrutiny’ of CCP risk management
• Metals house of the year: SG CIB

表彰

• Best product for capital markets: Murex
• Asia Risk Technology Awards 2024
• Energy Risk Asia Awards 2024: The winners
• Best structured products support system: Goldhorse Capital – Extramile
• Counterparty risk innovation of the year: Cumulus9

人材

• People: Masters moves into FNZ, Two Sigma founders step back, and more
• Cardano’s Max Verheijen moves to BasisPoint
• People: SocGen’s Farah replaces Salorio, Deutsche makes credit hire, and more
• Coex Partners hires former Citi head of FX Apac sales
• Athora CFO exit caps management overhaul

最新技術

• BofA quants propose new model for when to hold, when to sell
• Backtesting correlated quantities
• A hard exit threshold strategy for market-makers
• Pricing and managing complex share buy-back contracts: an alternative to optimal control
• CVA sensitivities, hedging and risk