We derive explicit recursive formulas for target close (TC) and implementation shortfall (IS) in the Almgren Chriss framework. We explain how to compute the optimal starting and stopping times for IS and...
Best Solvency II software package: IBM (formerly Algorithmics)
In this white paper, Gordon Russell, Global Head of Risk at Broadridge Investment Management Solutions argues that the chances of survival in this new environment will be greater for funds that implement solutions to efficiently and cost-effectively manage data and risk.
More Algorithmics articles
Market sentiment could eventually be used as an input for risk and trading models, helping to predict future events, says John Macdonald of IBM Algorithmics
Smoothing the flow
Powering up the engine
Solvency II software package: Algorithmics
Algos patents operational risk capital modelling framework
Many passive returns
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.