Residual risk add-on more broadly applicable than first thought under Basel rules
In this issue of The Journal of Computational Finance, we encounter different contemporary approximations and techniques for financial problems.
When dealing with nonsmooth functions – such as a combination of a nonsmooth density and a payoff – spectral filters can be applied to deal efficiently with the so-called Gibbs phenomenon. The ...
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Agency chief sidesteps question over whether Gensler rushed rules
It was “absolutely certain” that SNB would end Swiss franc floor, says vice-chair
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Potential US rate rise puts rupee depreciation back on the table
Onshore corporates yet to take advantage of increased hedging options
Energy firms need clarity on 'seventh prong', commissioner says
Agency said to be exploring solution for embedded volumetric options
China exchange developing technique to reduce margin requirements
Carney’s words echo work of Émile Zola on the value of social capital
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.