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.
Operational risk loss data – July 2015
Verdict marks end of first criminal case against an individual in the scandal
Banks likely to be cautious even after trade restarts
Analytical approach suggests CCPs should be putting more of their own capital at risk
Hedges required to lock in performance on constant currency terms impact product pricing
Boom in op risk means more places in front line
OpRisk Asia: Revised standardised approach an improvement but no panacea
Catch up with the debate at OpRisk's flagship London conference
OpRisk Asia: New market structures have led to op risk primacy
OpRisk Asia: Cyber security group warns most directors are neglecting risk
OpRisk Asia: 'Risk champions' should lead on cultural change, conference hears
A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models
This paper presents a simple approximation for the noarbitrage drifts that appear in Libor market model SABR-family term structure models.