Morgan Stanley quants show how to avoid mispricing corporate options and convertible bonds
New framework likely to reduce use of internal models, as planned; but is that a good thing?
Increased interest in commodity exotics comes amid scrutiny of margin calculation models
JPM and NatWest have published their swaps and options last look windows – will others follow suit?
BoE warns against lending shares to borrowers aiming to influence AGM votes, but will anyone outside the UK listen?
Gaussian distributions can sharpen one of the most commonly used tools in quant finance
Carve-out of intra-bloc exposures from BCBS score enshrines banking union, but produces little
LME episode comes amid scrutiny of UK regime and fresh Brexit row
An absence of shared datasets is holding back the development of ML models in finance
Natixis quants find novel way to speed up volatility smile modelling
Settlement delays, insolvency risks mean collateralised coins could falter
Impact of Ukraine invasion hit bank balance sheets hard; its effects look set to continue
Higher capital costs for dealing in uncollateralised FX swaps and forwards could impact banks and clients alike
Shareholders were right to keep officers and directors on the hook until all the facts are known
BofA quant’s model considers the correlation between market shocks and counterparty defaults
Effective hedging depends on what’s causing prices to rise
Wild spread swings see offshore RUB market and electronic trading disappear
Lack of data granularity on Russian exposures should prompt a rethink by regulators and banks alike
Proposed ban might need to be dropped to prove practice is harmful
Quants propose a novel approach to assess liquidation cost and stress-testing for hard-to-sell assets
Survey to be expanded as part of benchmarking exercise
Quants cannot ignore real-world frictions such as sanctions and market closures
The looming risk of big write-offs should prompt investor rethink
Regulators need to look closer at private equity’s rush to reinsure pension assets in Bermuda