Rejigged algo behind doubling in volumes - Swiss bank aims to repeat trick in swaps
ABSTRACT Interest rate derivatives under jump-extended short-rate models have commonly been valued using lattice methods. Unfortunately, lattice methods have pitfalls, mainly in terms of accuracy, efficiency...
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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.