Nazneen Sherif
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Articles by Nazneen Sherif
Top quant Peter Carr leaves Morgan Stanley
Global head of market modelling is no longer with the bank, say industry sources
Dealers 'getting very creative' ahead of FRTB implementation
FRTB will force banks to rethink the structure of their businesses
Banks brace for assault course of FRTB implementation
Dealers face test of endurance to win model approval and avoid penal standardised charge
New research shows FVA is not part of P&L – Duffie
Pricing experts defend practices that resulted in huge FVA losses
KVA pushes accounting standards to the limit
Radical changes needed if banks are to account for cost of capital
Giving the Omega ratio a new lease of life
Johnson-Omega could change the way financial firms measure portfolio performance
Banks launch drive to crush outsized XVAs
Novations and profit-sharing form part of push to trim derivatives valuation adjustments
FVA sceptics lose ground in valuation debate
Market needs to move on from theoretical argument and focus on numbers
Banks work together in effort to reduce XVA costs
Dealers offer rewards to clients and rivals for help in cutting valuation adjustments
Final FRTB is a game of give-and-take, say dealers
Relaxation in some areas of Basel market risk rules offset by harsher treatment in others
Cutting Edge introduction: No more shortfalls?
Academics develop expected shortfall backtest to compare standardised and internal models
Basel may soften trading book rules on emissions
Latest FRTB tweaks also include increasing granularity of commodity risk weights
FRTB may lead banks to take more risk, says Deloitte
Analysis shows some trading desks receive lower capital with stressed market risk charge
Year of the XVAs: top technical papers and authors of 2015
Funding valuation adjustment under the microscope, along with other, newer XVAs
Cutting edge introduction: Monetising out-of-the-money
Out-of-the-money options contain a hidden premium, says one quant
Basel Committee readies op risk and FRTB releases
Supervisors under pressure to finalise post-crisis reforms to capital rules
FRTB: the nightmare before Christmas
Unwanted gift will be delivered, say regulators, and only its size is up for debate
Statistical spin may decide severity of trading book rules
Capital increase levied by Basel Committee could depend on use of mean versus median
Cutting edge introduction: Jumpy wrong-way risk
Quants propose easy approximations for modelling wrong-way risk in CVA frameworks
Pillar 2 'unlikely to cushion' trading book capital impact
Pillar 1 capital hike likely to outstrip any Pillar 2 add-ons, say dealers
Banks forlorn over new Basel counterparty risk charge
Standardised risk charge delivers few benefits, and plenty of trouble
Trading book QIS: residual risk is 'killing everybody'
Residual risk add-on more broadly applicable than first thought under Basel rules
Dealers criticise Basel’s 'nonsensical’ CVA impact study
Tight deadline and limited portfolio makes measurement difficult