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ABSTRACT This paper reports a practical approach to constructing arbitrage-free volatility surfaces that are consistent with the observed options smiles and Samuelson effect in futures markets.A separate...
Monitoring and assessing risk culture using quantitative techniques
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.