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...
A major focus of IBM’s work has been enhancing the workflow tools in its Solvency II software to support insurers’ reporting needs. Larger insurers, in particular, face challenges in managing the...
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
New regulation will force banks to make dramatic changes to their business models, and technology providers are adapting accordingly. Rather than focusing on complex financial engineering, dealers are now more concerned about clearing, liquidity, funding,...
Insurers need to overhaul their approach to dealing with the flow of data within their organisations, if they are to comply with all of the requirements of Solvency II, not just Pillar I. Clive Davidson reports
Two of the top software vendors have merged, businesses within firms are starting to share responsibility for op risk management, and, despite a split over scenario analysis, some expect the market to slowly converge on best practices too
The requirements of new regulations such as Solvency II are forcing insurers to update their risk technology infrastructure. Clive Davidson looks at how insurers are adjusting their risk engines in response to these demands and the challenges they face...
Operational risk and effective risk management have taken over from exotic innovation in the structured products market. With the barriers to entry still big enough to put off new entrants to the technology market, the composition of the top 10 technology...
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.
Hong Kong, 1st - 31st Dec 2014
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Singapore, 22nd - 23rd Jul 2014
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Australia, 14th Aug 2014