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- CME’s term SOFR rate gets the official nod
- Credit Suisse’s op risk up $6.5bn on subprime-era litigation
- Operational resilience 3.0 – Unlocking potential and elevating response
- Uncleared margin rules – Should only geeks care about initial margin calculation?
- Ex-regulators back PTFs’ call to reform Treasuries clearing
- Fast pricing of American options under variance gamma
- Mixed signals as swap dealers begin quoting ‘SOFR first’
- Trim, SA-CCR weigh on Santander’s RWAs
- Model change cuts Barclays’ VAR 21% in H1
- Climate change valuation adjustment using parameterised climate change impacts
- Banks hail UK plan to pare scope of taxing pre-trade reporting
- GameStop frenzy triggered $2 billion margin breach at OCC
- Anti-fraud product & Anti-money laundering product of the year – BlackSwan Technologies’ ELEMENT™ of Compliance
- Life and pensions ALM system of the year – Conning
- Model validation of the year – Yields.io
- Regulatory reporting system of the year – BearingPoint RegTech
- Don’t fret about elevated skew, vol experts say
- On modeling contagion in the formation of operational risk loss
- Correlated idiosyncratic volatility shocks
- What can we learn from what a machine has learned? Interpreting credit risk machine learning models
