Isda AGM: CME applies 20% margin haircut while LCR hits banks with 50% cut
Reuse, title transfer, reporting and derivatives in scope scrutinised
OpRisk North America covers maths, psychology and everything in between
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It was “absolutely certain” that SNB would end Swiss franc floor, says vice-chair
Abstract We present an efficient approach to compute the first- and second-order price sensitivities in the Heston model using algorithmic differentiation. Issues related to the applicability of the pathwise...
Ariane Chapelle sets out metrics and tools to keep firms within their risk appetite
Finma said to be considering penalties
Buffett's warning on perils of volatility is well justified, argues Kaminski
ABSTRACT Expanding the realized variance concept through realized skewness and kurtosis is a straightforward process. We calculate one-day forecasts for these moments with a simple exponentially weighted...
Neeta Atkar highlights clear communication and focus on customer service over sales
Regulators criticised for reticence over why they rejected some test results
Senior auditor calls for mix of metrics and judgement
Four new deputy comptrollers, within supervision, credit risk, and strategy
Banks and regulators urged to up their game in stress tests and scenario analysis
Australia's authorities look into sudden moves in the Aussie's value
Reducing model diversity may endanger AMA's risk management benefits
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