The theory of optimal trading under proportional transaction costs has been considered from a variety of perspectives. In this paper, Richard Martin shows that all results can be interpreted using a...
Lack of hysteria does not equal complacency, says securities regulator
The online Certificate in Quantitative Finance program provides risk professionals with quant finance tools applicable to their roles, and now offers risk management electives. Download the CQF brochure.
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After five years of work, a group of 19 big banks still get a failing grade from supervisors on their ability to pull together and report counterparty exposures. Is it all a question of cost? Fiona ...
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A second no-action relief period that exempted Sefs from issuing confirmations expired on November 29, leaving forex traders unsure whether Sefs can handle the requirement
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Barriers include a lack of finalised rules and technology for scalable operations
As insurers look for ways to improve the speed of their modelling calculations, some are turning to microprocessors originally developed for computer graphics in games consoles to increase calculati...
Crunch time for data
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.