A universal law for optimally dealing with proportional transaction costs
Portfolio construction and systematic trading with factor entropy pooling
This webinar on September 17th looks at the challenges of GRC, key trends, motives for improvement, future investments, and obstacles that banks and other financial institutions face in trying to improve and integrate their risk management strategy
More Technical papers/Insurance articles
Improving variable annuity valuation and reserving by regressing over scenarios, using a technique from American option pricing. Variable annuity economic capital
Under traditional finite difference methods, the calculation of variable annuity sensitivities can involve multiple Monte Carlo simulations, leading to high computational cost. A pathwise approach r...
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.