This paper develops a method for estimating the full systematic risk of bonds and thereby enables a fuller understanding of the risk and return on fixed-income instruments.
Icma ERC continues to push for plans to improve Bridge settlement times
Approximations of value-at-risk as an extreme quantile of a random sum of heavy-tailed random variables
The authors of this paper study the approximation of extreme quantiles of random sums of heavy-tailed random variables. More specifically, sub-exponential random variables.
Liquidity providers seek to improve electronic price formation
Dugan warns of pressure to innovate
Efficiency gains have kept capital supply up, but challenges remain
Operational risk loss data – April 2015
Sponsored webinar: Metricstream
Common psychological traps at the root of risk
London resilience group warns of under-reporting of online crime
Misbehaviour at banks may not just be result of poor management
Asean companies should avoid expense of crossing into US dollar and go straight to the local currency
Asean Economic Community faces challenges, says deputy governor Muhammad bin Ibrahim
PRA capital methodology will change rules for modelling
A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
Interest rate derivatives under jump-extended short-rate models have commonly been valued using lattice methods. This paper proposes a much faster and more accurate valuation method based on partial integrodifferential equations.
Firms are battling against a lack of data with which to model policies
Method could provide early-warning system
Possible listed forex futures and options manipulation brought to NY court
FCA focuses on punishing non-compliance
CPMI-Iosco stress-testing quiz will be precursor for broader risk review
Financial sector struggling with macro and operational risks
An efficient numerical partial differential equation approach for pricing foreign exchange interest rate hybrid derivatives
This paper discuss efficient pricing methods via a partial differential equation (PDE) approach for long-dated foreign exchange (FX) interest rate hybrids under a three-factor multicurrency pricing model with FX volatility skew.
A round-up of views on the custodian's £126 million fine
Pricing difficulties since SNB currency floor removal cause friction