Nazneen Sherif
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Articles by Nazneen Sherif
How not to control trading behaviour
Quants show popular risk measures fail to limit risk-seeking behaviour among traders
StanChart and Nasa join forces for quantum computing project
Bank is exploring quicker ways to solve portfolio optimisation
Quants warn over flaws in machine learning predictions
Six quants debate whether the tool can adjust to paradigm shifts in financial markets
Banks make new push on FRTB’s P&L test
Industry calls for series of changes as regulators prepare new consultation, says Nomura’s Epperlein
Multicurve modelling is about to get more complex
Research into rates pricing is becoming more urgent given recent regulatory changes
FCMs warn EU client-clearing rules could increase risk
Emir review calls for clearing access to be 'non-discriminatory' - might mean banks have to take risky clients
What causes forex correlation swaps to be mispriced?
UBS quants show prices can differ by up to 25 correlation points if products modelled accurately
Cloud set to replace in-house tech for banks
‘No other way’ to meet demands of FRTB, XVA and other changes, claim proponents
Forwards users unclear on status of EU’s margin regime
National regulators have not all taken public stance on pending postponement
VM rules sound death knell for forex swaps in Europe
Market participants claim instrument was a “mythical creature” that never really existed
Reducing noise is as important as radical change
Quants study ways to reduce noise in XVA Greeks calculations
CVA dismay: final Basel rules disappoint dealers
Minor tweaks don’t make up for removal of internal modelling, say banks
Machine learning is not just for the buy side
Sell-side quants develop machine learning technique to optimise margin costs
CVA pay day: calculation arbitrage boosts bank profits
Lack of convergence allows some banks to benefit from an arbitrage between booking and pricing the adjustment
Quintenz: futures will allow regulated bitcoin exposure
New products allow investors to access digital currency in a monitored marketplace, says CFTC commissioner
Dealers warn of FRTB impact on funding programmes
EMTNs issued by treasury functions may need to be moved to trading desk because of new market risk rules
EC backs forex forward margin exemption
Need for change is “undisputed”, official says – but short-term relief expected to come via forbearance
Forex forward users delay VM plans amid uncertainty
Firms postpone plans to start margining before January 3 in case EU regulators scrap new requirement
EBA and Eiopa confirm changes to VM rule for forwards
Bodies aim to align EU with other jurisdictions – hinting at end of unpopular rule
EU proposals feed hopes of forex forward VM relief
Expectations rise of forbearance after Council of the EU proposes buy side VM exemption
Quantitative finance still needs mathematicians
Quants develop model that fixes a longstanding problem with pricing American options
Swaptions expiries complicate portfolio optimisation runs
triBalance and Quantile users call for better post-trade co-ordination between dealers
Machine learning could solve optimal execution problem
Reinforcement learning can be used to optimally execute order flows