Goldman Sachs, Morgan Stanley shrink requirements by over $1 billion year to date
Faith in correlations has been sorely tested as markets tear up one long-held maxim after another
Craig Niven, managing director, cash equity execution at Societe Generale Prime Services explores how a five‑month study allowed the organisation to develop a market impact model using historical data, and why it is key for clients in the long term to…
Investment approach’s diversification benefits can’t be relied on in the short term
Firms have until 2021 to implement FRTB, and those yet to begin compliance efforts risk putting themselves at a disadvantage. EY‘s financial services risk partners Shaun Abueita and Sonja Koerner explore the current level of readiness within the industry…
Pension fund cuts risk to guard against correlation switchback
Research is starting to show the stock-bond link in a new light
Growing number of Chinese lenders designated as systemically important
When stocks and bonds fell in tandem this year, it sparked a debate about whether a lasting regime shift could be predicted
No reason to delay roll-out of standardised approach, says TCH’s Greg Baer
This paper reviews the ways of measuring the performance of LGD models that have been previously used in the literature and also suggests some new measures.
Turmoil benefits total return futures, cross-asset arbitrage and dispersion
Return of pre-crisis, ‘theta-flat’ trades an early sign of shifting volatility expectations
UBS quants show prices can differ by up to 25 correlation points if products modelled accurately
A correlation structure is an important element in pricing products such as correlation swaps
In this paper, the authors outline a simulation-based methodology for the generation of stressed transition probability matrixes under the structural credit risk framework.
Pure exposure to home equities harder to isolate than previously thought, new paper says
Drop loss categories and correlations and adopt simple loss distribution, advises AMA expert
The authors present a methodological framework for quantifying interdependencies in the global market and for evaluating risk levels in the worldwide financial network.
This paper develops a connection between the Hull–White parametric approach and the PCL correlation approach for CVA calculation.
Stochastic loss given default and exposure at default in a structural model of portfolio credit risk
The authors develop a factor-type latent variable model for portfolio credit risk that accounts for stochastically dependent probability of default (PD), loss given default (LGD) and exposure at default (EAD) at both the systematic and borrower specific…
The aim of this paper is to assess the effects of the reputation of the members of a group on any single member of the group using the concepts of social influence and convergence in belief.