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...
This webinar looks at the current state of enterprise stress testing and unveils findings of a new study on Enterprise-level Stress Testing (one of several research papers in Chartis' The Risk Enabled Enterprise ® research program)
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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.