Pricing
Trading costs versus arrival price – An intuitive and comprehensive methodology
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…
Keeping up with cloud adoption
Risk.net convened a webinar in collaboration with Murex to explore how, as more financial institutions move to the cloud, they can get the most out of their technology investments
Compliance preparations amid uncertain rules
A forum of industry leaders discusses how banks will define individual trading desks under FRTB, whether BCBS 239 compliance projects can help banks meet FRTB risk data challenges, which model validation obstacles banks still face and other key topics
Institutional ETF trading: Liquidity improving, trade sizes growing
Sponsored survey report: Jane Street
Fischer Black was right. Somewhat
CFM quants show timing and extent of mean reversion using a highly data-intensive study
MSCI proposes ‘fairer’ alternative to swing pricing
Exiting investors should only pay the cost of net redemptions, says Acerbi
Swap spreads halve as dealers fight for corporate market share
US bank push, rate movements and evolving market practice driving spreads to “suicidal” levels
XVA swings boost US bank trading revenues
DVA change pares down dealers' derivative liabilities
Rethinking XVA sensitivities – Making them universally achievable
Content provided by IBM
Brexit: banks take the ‘no’ out of novations
Swaps clauses stop end-users blocking counterparty switch, making it easier to move trades to EU affiliates
Euro swaptions market prepares for pricing revamp
Interdealer market to adopt collateralised cash price from July, but some fear impact on legacy books
Cloud set to replace in-house tech for banks
‘No other way’ to meet demands of FRTB, XVA and other changes, claim proponents
Exchange innovation of the year: Eris Exchange
Risk Awards 2018: New swap futures pricing curve removes hurdle for real-money users
Eonia jump forces rethink of euro swap pricing
Traders say volatility of discount rate should be taken into account after "unprecedented" 12bp move
Totem extends pricing data to 10-year repos
IHS Markit service set to help banks with funding and swaps valuation concerns
Ferc urged to prop up illiquid natural gas indexes
A lack of willing price reporters is eroding confidence in key benchmarks
A new nonlinear partial differential equation in finance and a method of its solution
In this paper, the author considers a special type of nonlinear PDE that arises by applying optimization to some financial problems.
Capital savings from new IM regime elude dealers
Slow model development and approval processes mean banks yet to see benefits expected under margin rules
Addressing the eurozone’s ‘lemons’ problem for NPLs
State-aided securitisation of riskiest tranches could prompt purchases of loans, write ECB staffers
XVA reaches far and wide
Sponsored Q&A: CompatibL, Murex and Numerix