Given that the past year’s financial crisis originated in credit markets, interest rates have been a central part of the narrative. Erratic movements in rates increased the importance of accurate tracking models that can capture trends. The problem is that those same movements have made the tracking process more difficult.
BNP Paribas has netted this year’s index innovation award with a new index designed to tackle this obstacle. The bank has three strategies that observe movements in interest r
The week on Risk.net, October 6-12, 2017Receive this by email
- SGX, HKEX expect to be among first wave of Mifid II equivalence
- Leaked EU doc could shield legacy swaps from clearing grab
- ABS set for revival under US Treasury’s liquidity buffer plans
- Quantile, TriOptima face off in cleared swaps compression battle
- Quants stymied by lack of alternative risk premia flows data