Changing regulations and new accounting standards are creating enormous challenges for financial organisations. SAS explores why, to successfully meet these new requirements, organisations need to rethink the way they operate
After a difficult 2018, investors are increasingly wary of risk premia, concerned that factors leading to underperformance might be a recurring problem. Imene Moussa, executive director at UBS, clarifies this issue
As businesses grow, so does their need for modern, agile and cost-effective commodity/energy trading risk management (C/ETRM) solutions. Pioneer Solutions explores how its next-generation, highly configurable C/ETRM systems take advantage of the latest…
An excerpt from a discussion between triCalculate's co-CEO, Martin Engblom, and XVA (valuation adjustment) expert Jon Gregory in which they discuss the current state of play for XVA. Our experts provide professional insight on topics such as credit…
In this paper, the authors combine several disparate avenues in the literature to create a novel, unified risk-based optimization framework.
Modular tech and micro-services – plus new risk and regulatory needs – are creating openings for insurgents and incumbents
Lawmakers ask European Commission to consider if offsetting non-cleared trades could be exempt
A start-up some are calling the Airbnb of capital is bringing a Silicon Valley idea to Wall Street
Sponsored forum: Capitalab
Fragmented product set is 1.3% of OTC notional but attracts more margin than rates and forex
In this paper, the authors introduce an approach to cluster asset classes by correlation distance and then outline how these results can be used to design portfolios that are optimal in a group risk parity (GRP) framework.
Interdealer market to adopt collateralised cash price from July, but some fear impact on legacy books
Central clearing has had a beneficial effect on the over‑the‑counter derivatives market, but for some products the road to a cleared model has not been smooth. Capital, operational and margin costs of the non-cleared market have increased, while…
triBalance and Quantile users call for better post-trade co-ordination between dealers
Albanese, Caenazzo and Syrkin show how full-revaluation VAR is more accurate and robust than sensitivity-based VAR measures
Dealers using Emir review to request carve-out for optimisation trades
In this paper, the author considers a special type of nonlinear PDE that arises by applying optimization to some financial problems.
Quants propose technique to generate effective, plausible CCP stress-testing scenarios
Sponsored webinar: Calypso
Options-based instruments can halve initial margin for some non-cleared products, say dealers
Four EU, one Japanese and one Australian bank to start posting initial margin on non-cleared trades from September
NY-based start-up LMRKTS gets backing to support illiquid markets