This paper puts forward an ensemble approach for asset correlations.
Accounting standard is coming, say some - others see no KVA requirement
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Respondents reveal huge gulf in pricing for generic swap
Jacky Lee and Luca Capriotti present an arbitrage-free valuation method for counterparty exposure of credit derivates portfolios.
Managers should be more confident challenging new processes
Disaster recovery and oversight key for utility's CRO
When dealing with nonsmooth functions – such as a combination of a nonsmooth density and a payoff – spectral filters can be applied to deal efficiently with the so-called Gibbs phenomenon. The simplicity and effectiveness of classical filtering techniques...
The article discusses the use of counting processes for retail (mortgage) default modeling.
Hill Dickinson lawyer outlines his view
Custodians should retrain HR in foreign bribery rules as SEC threatens further action
Using blockchain should drastically speed up post-trade settlement
CRO explains how disasters have shaped his priorities
By means of B-spline interpolation, this paper provides an accurate closed-form representation of the option price under an inverse Fourier transform.
New data shows drop in market depth, but QE is not threatened, says deputy governor
EU lenders say both EBA proposals would distort capital requirements
SEC prosecution for hacking newswires shows the importance of cyber defence
This paper analyzes the theoretical properties and statistical behavior of credit default swap (CDS) premiums over time.
Less than half of complaints received by the FCA concern PPI mis-selling
Additional costs for end-users if no exemption granted
No significant benchmark reforms likely until regulators take the lead
Hermite approximations in credit portfolio modeling with probability of default–loss given default correlation
The authors present an analytic framework for credit portfolio modeling using Hermite expansions.
Interest rate's governance and wider industry culture also in the dock
By introducing the set-valued scenario, this paper proposes a unified robust portfolio selection approach under downside risk measures.