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 panel will discuss ways to allocate resources and minimize potential exposure with a set of analytical tools to assess, simulate and quantify operational risk capital to improve business efficiency and performance across the enterprise.
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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.