Optimisation
Approximate risk parity with return adjustment and bounds for risk diversification
The authors approach diversifying risk contributions to improve returns by satisfying approximate risk parity and providing bounds on a risk spread (RS) metric that quantifies risk diversification and takes returns into account.
A hard exit threshold strategy for market-makers
A closed-form solution to derive optimal stop-loss and profit-taking levels is presented
Brooklyn’s robot analyst cuts costs by four-fifths
In tests, direct indexer’s model picks portfolios for review with near-perfect accuracy
Pricing share buy-backs: an alternative to optimal control
A new method applies optimised heuristic strategies to maximise share buy-back contracts’ value
Energy credit optimisers vie to become headline act
Competing initiatives may dilute ‘network effect’ as race to fill void left by TP Icap intensifies
Tradition links up with Komgo for energy credit optimisation
New partnership is one of four initiatives competing for dominance in wake of 2022 gas price spike
In a world of uncleared margin rules, Isda Simm adapts and evolves
A look back at progress and challenges one year on from UMR and Phase 6 implementation
Are cryptocurrencies cryptic or a source of arbitrage? A genetic algorithm approach
The authors identify triangular arbitrage trading opportunities through genetic algorithms in order to find insights into the volatility of cryptocurrencies and stablecoins with the largest market cap.
Citi and JP Morgan vie to extend collateral optimisation to CCPs
High rates and increasing collateral requirements have ignited race for greater efficiency
Mean–variance insurance design under heterogeneous beliefs
The authors investigate a problem of optimal insurance in which the insured and the insure hold heterogenous beliefs concerning loss distribution and demonstrate their results with analytical and numerical examples.
Risk optimisation and hedge accounting to stabilise regulatory capital
Continual interest rate increases have been reshaping banks’ balance sheets worldwide. With these historic interest rate hikes, regulatory capital has been exposed to volatility driven by flawed hedge accounting programmes or hedges failing effectiveness…
Firms seek optimisation gains as UMR and SA-CCR bite
A wider range of market participants is taking advantage of service providers such as OSTTRA’s optimisation cycles to drive margin and counterparty credit risk efficiencies across asset classes including FX, rates, equities, commodities and credit
On the potential of arbitrage trading on the German intraday power market
The authors compare ex post arbitrage trading with pair-trading on the German intraday power market and how each method may be optimised.
As exposures mount, energy firms take up credit optimisation
Energy turmoil spurs demand for new counterparty rebalancing services in gas and power markets
Bank balancing: optimising margin and capital in a higher rate environment
This Risk.net paper, featuring leading practitioner insights, assesses the challenges banks are facing in the new higher-for-longer interest rate environment, and the strategies and tools they are using to optimise margin and capital on their derivatives…
Harnessing the power of data to optimise intraday liquidity management
Aaron Ayusa, director of client success at Baton Systems, explains the benefit of using data derived from real-time reconciliations to optimise intraday liquidity management
Sherman ratio optimization: constructing alternative ultrashort sovereign bond portfolios
This paper explores the Sherman ratio and find that it has merit in the optimization of portfolio construction.
EU snub to clearing carve-out hurts optimisation efforts
Forcing firms to clear risk-reducing trades would squeeze collateral and potentially hike liquidity risk, dealers warn
Revival of off-balance-sheet financing merits close scrutiny
Banks need more diverse funding sources, but new structures must be vetted carefully
Optimal turnover, liquidity and autocorrelation
A novel optimal execution approach via continuous-time stochastic processes is introduced