Technical papers / Risk magazine
Wujiang Lou shows the impact of funding costs on option valuation
NYU quants use Bayesian techniques to sequence trades, considering trading costs and multiple assets
This white paper looks at the heavy impact of regulation on investment managers, the mitigation of outsourcing risk, inefficiencies in corporate actions processing and the growing importance of collateral management.
More Technical papers / Risk magazine articles
Kolm and Ritter present a multiperiod, multi-asset selection model with transacion costs, kept computationally tractrable
Albanese, Andersen and Iabichino present a method for accounting and risk managing FVAs
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...
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.