The theory of optimal trading under proportional transaction costs has been considered from a variety of perspectives. In this paper, Richard Martin shows that all results can be interpreted using a...
Counting the cost
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A new study looking at reverse convertibles in the Dutch market, one of the most developed in the world, has concluded that plain vanilla and knock-in reverse convertible bonds are, on average, overpriced...
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.