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ジャーナル

• Pricing time-capped American options using a least squares Monte Carlo method
• Determination of the fraction of losses and their probabilities by type of risk and business line from aggregate loss data
• The effects of climate transition risk on an investment portfolio
• Earnings moves and pre-earnings implied volatility
• The prediction of mortgage prepayment risks in the early stages of loan origination: a machine learning approach

アジア

• Initial margin requirements hit record highs at major CCPs
• China finalises IM rules but gaps remain
• SGX suffered five-hour op failure from CrowdStrike outage
• Margin breaches skyrocket at JSCC amid market volatility
• Global banks boost Level 3 assets to new highs

リスク管理

市場リスク

信用リスク

オペレーショナルリスク

流動性リスク

ALMリスク

決済リスク

デリバティブ

金利デリバティブ

為替デリバティブ

株式デリバティブ

クレジットデリバティブ

インフレデリバティブ

コモディティデリバティブ

ストラクチャード商品

規制

バーゼル規制

【US】ドットフランク規制

【EU】金融商品規制（MIFID）

【EU】OTCデリバティブ規制（EMIR）

【EU】ソルベンシー規制

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

• Clearing house of the year: LCH
• Best use of machine learning/AI: CompatibL
• Markets Technology Awards 2025 winners’ review
• Flow market-maker of the year: Natixis
• Technology vendor of the year: Numerix

人材

• People: All shook up at the SEC, Krens succeeds Litvack at Isda, and more
• Girolami to leave LCH for NatWest
• People: SocGen and Nomura spot slew of FX hires, RepoClear gets new head, and more
• People: All fall in at Citi, TD turbulence, and more
• Asia moves: senior hires at Citi, BNP Paribas, and more

最新技術

• Funding arbitrages and optimal funding policy
• Podcast: Alexei Kondratyev on quantum computing
• Quantum two-sample test for investment strategies
• Quants mine gold for new market-making model
• Market-making in spot precious metals