A new framework for derivatives pricing with valuation adjustments
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...
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Best Solvency II software package: IBM (formerly Algorithmics)
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
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.