Counterparty risk

A sensitivity analysis of the alpha factor

In this paper, we investigate the alpha factor’s sensitivity to key model parameters under stylized portfolio assumptions in order to better understand its complex characteristics. Our analysis is based on the numerical simulation of alpha sensitivities…

Transforming trading, risk and operations

Capital markets technology firm, Murex, enjoyed outstanding success in the Risk Awards 2020. Amid fierce competition, the firm was named technology vendor of the year, and picked up a further five gongs in the Risk Markets Technology Awards

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