Solving the data challenge: technical solutions for optimisation of risk management, capital and liquidity resources
Since the financial crisis that began in 2007–08, regulatory pressure on requirements around capital adequacy, liquidity, funding, balance sheet size and leverage has become increasingly intense. As a consequence, financial institutions need to manage…
With swaps and forwards hit hard by new capital measure, dealers turn to vendors and bilateral restructuring
LCH’s Kah Yang Chong, head of FX Emea product, and James Shanahan, head of FX quantitative analytics, discuss whether clearing of FX forwards and swaps – so far limited by requirements under UMR – will provide the efficiencies market participants need
Deal for multilateral compression provider latest in wave of post-trade tie-ups, as SA-CCR bites
An approach to simultaneously assess operational risk and maturity levels in information technology management
The aim of this paper is to investigate the operational risk and maturity level of IT in an anonymized financial institution, based on the American Productivity and Quality Center benchmark and control objectives for information and related technologies.
With margin requirements a potential drain on financial resources, delivering healthy returns while meeting regulatory obligations is paramount. To help participants optimise more of their risk, Varqa Abyaneh, chief product officer, Quantile, discusses…
This webinar explores how trading businesses can adapt to this new environment to improve margins and generate alpha, examining the future of trading technology, how companies will implement these new innovations and new skills that might be needed.
As awareness grows of the complexities ahead, a panel discusses best practice, their recent experiences and the challenges in-scope firms face as they prepare to meet UMR
Register for our webinar convening groundbreakers, thought leaders and senior representatives from the buy and sell sides to discuss how trading businesses can adapt to this new environment to improve margins and generate alpha
Crif-plus will capture risk exposures for all instruments, boosting optimisation potential
The authors model a hierarchical Stackelberg game in a competitive power market under high behind-the-meter photovoltaics penetration and demand-side uncertainty, with emphasis on the feedback loop between distributed generation via photovoltaics and…
One year on from the pandemic-driven volatility of March 2020, Joanna Davies of Traiana looks at how buy-side firms can gain greater visibility and efficiency in exchange-traded derivatives (ETD) markets
Flush with new cash, vendors ready rebalancing services ahead of risk-sensitive leverage framework
Risk Awards 2021: valiant effort to solve swaptions discounting problem wins praise from clients
Risk Awards 2021: new research tackles ‘fundamental’ but largely ignored smart order routing problem
The economics of debt collection, with attention to the issue of salience of collections at the time credit is granted
This paper considers the role of policies that protect consumers from aggressive debt collection tactics.
Long-awaited proposal must be replicated by US and UK to be effective, participants say
What happens when risks become too global in scope and increasingly uncertain for a business to manage? Jeroen van Doorsselaere, senior director – finance, risk and regulatory reporting value propositions at Wolters Kluwer, explores the key steps to…
Smaller drawdowns, higher average and risk-adjusted returns for equity portfolios, using options and power-log optimization based on a behavioral model of investor preferences
The authors use a power-log utility optimization algorithm based on a behavioral model of investor preferences, along with either a call or a put option overlay, to reverse the negative skewness of monthly Standard & Poor’s 500 (S&P 500) index returns…
TriOptima explains how it combines the reduction of gross notional exposure and the conversion of net risk exposure to deliver outsized results, partnering its portfolio compression network with core net ICE Libor over-the-counter swap portfolios
In this paper the authors formulate a novel Markov regime-switching factor model to describe the cyclical nature of asset returns in modern financial markets.
In this paper, we analyze the consequences of shareholders’ limited liability for the risk- and value-based investment decisions made by a nonlife insurer under solvency constraints.
Raf Pritchard, head of triResolve, discusses the initial margin calculation and collateralisation challenges for firms coming into scope under phases five and six of the uncleared margin rules
With the recent announcement of an extended preparation period for those smaller entities needing to post initial margin under the uncleared margin rules, the new timetable could cause a bottleneck for firms busy repapering derivatives contracts linked…