ABSTRACT Interest rate derivatives under jump-extended short-rate models have commonly been valued using lattice methods. Unfortunately, lattice methods have pitfalls, mainly in terms of accuracy, efficiency...
ABSTRACT The (marginal) risk contribution is very useful for analyzing the concentration risk in a portfolio. However, it is difficult to estimate the risk contributions for value-at-risk (VaR) and expected...
This white paper looks at the heavy impact of regulation on investment managers, the mitigation of outsourcing risk, inefficiencies in corporate actions processing and the growing importance of collateral management.
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ABSTRACT In this paper, we 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...
A round-up of views on the custodian's £126 million fine
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ABSTRACT This paper is concerned with the derivation of a residual-based a posteriori error estimator and mesh-adaptation strategies for the space-time finite element approximation of parabolic problems...
Derivatives market pioneers co-opt bitcoin tech in bid to transform mainstream markets
Market participants "must ensure they are capable of bearing losses", says SNB vice-chair
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.