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Berms without calibration
This paper suggests semi-analytical pricing model for Bermudan swaptions based on swap-rate distributions and the correlations between them which does not require product specific calibration.
Squashing CVA still dominates XVA desks’ priorities
Dealers favour options-based strategies to manage charges; some explore contingent CDSs amid rising exposures
All that glisters: precious metal volumes surge on FX venues
Gold and silver liquidity on foreign exchange trading platforms improves as more dealers link precious metals with e-FX
Interview: Linda Middleditch, Regnology
Regnology’s Linda Middleditch discusses its acquisition of Wolters Kluwer’s FRR business
Collateral management and optimisation product of the year: CloudMargin
Delivering the modern blueprint for enterprise collateral resilience
US G-Sibs diverge on cashflow volatility
Maturity mismatch add-on hits peak at two banks and trough at two others
Quantcast Master’s Series: Kihun Nam, Monash University
Melbourne-based programme winks at pension fund sector
Who is Selig? CFTC pick is smart and social, but some say too green
Colleagues praise crypto smarts and collegial style, but views on prediction markets and funding trouble Senate
MAS official flags risks in Asia’s path to T+1 settlement
Regulator says region faces “unique challenges” in establishing a shorter settlement cycle
EU single portal faces battle to unify cyber incident reporting
Digital omnibus package accused of lacking ambition to truly streamline notification requirements
XVA desks prioritise core tech upgrades over AI
Vendor upgrades, cloud-native rebuilds and sensitivities tooling dominate 2026 budget road maps
Pricing and analytics: fixed income – Quantifi
Quantifi delivers high-performance, transparent and adaptable pricing and risk analytics for fixed income and credit markets
SS&C Algorithmics: winner’s interview with Curt Burmeister
SS&C Algorithmics wins three categories in this year’s Markets Technology Awards in addition to Technology vendor of the year at the Risk Awards
Bank of America leaps to fourth on global OTC derivatives ranking
Bank overtakes BNP Paribas, Morgan Stanley, Goldman and Citi with €8.3 trillion expansion in 2024
Basel Committee members ‘buying time’ before fixing FRTB mess
Despite inconsistencies today, regulators maintain they want to align global regime eventually
Nomura shuffles risk methodology team
Epperlein takes advisory role six months after Japanese bank’s FRTB IMA go-live
How Basel III endgame will reshape banks’ business mix
B3E will affect portfolio focus and client strategy, says capital risk strategist
All 14 G-Sib indicators hit records in 2024
Aggregate measures of systemic importance for top banks jumped to new highs, driven by sharp rises in underwriting activity and securities trading volumes
How window-dressing distorts US repo markets
Banks crush their repo balances periodically to massage systemic indicators, with far-reaching consequences for borrowing rates
Derivatives industry blasts EU reporting framework
Complaints about duplicate and ambiguous trade reporting requirements aired at Esma’s Data Day
CME futures outage caused FX spot pricing problems
At least one non-bank was forced to pull prices, and NDFs also affected
Flow market-maker of the year: Citadel Securities
Risk Awards 2026: No financing; no long-dated swaps? “No distractions,” says Esposito
Chicago data centre outage forced clearers to turn away clients
Friday’s cooling system failure highlights cracks in tech and concentration risk of big CCPs
Morgan Stanley set for biggest reset under softened eSLR
Bank’s leverage utilisation to fall from over 90% to 64% under new buffer
LCH goes live with agency model for client clearing
English law version of FCM-style European trust model approved, as Eurex lags behind
Andy Ross leaves StanChart
CurveGlobal veteran confirms his departure as bank’s global head of prime brokerage
US banks hoping for end of DFAST global market shock
As Fed consults on stress-test reform, lobby group argues regulator is double-counting market risk
BofA and ICBC lose, Deutsche wins in latest G-Sib audit
Latest assessment of systemic lenders brings capital relief to German giant