Technical papers / Risk magazine
KVA are introduced to take into account the effect of capital on funding
The Certificate in Quantitative Finance is a global quant program that focuses on teaching practical quant techniques used in risk management.
Join us online to learn more: 11 December
More Technical papers / Risk magazine articles
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...
New set-up allows fast, tractable optimisation of trade execution, without neglecting downside risk
New analysis shows CDOs can withstand high levels of correlation – what they can’t cope with, though, is a sudden change in risk appetite
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.