Pricing
Integrating ECL onto a stress-testing platform: scenarios
Strategies for producing stress-testing ECL values that comply with IFRS 9, as well as CECL standards
Reading between the fines: a deep dive into financial institution penalties in 2022
Fenergo’s latest research report on financial institution penalties in 2022 is available now. Key analysis shows that fine values in Apac were just 0.77% of what they were in 2021
It’s not easy being green: why the FX market is lagging on ESG
And what’s being done to fix it
Complying with climate risk framework standards for streamlined processes
Conscious that climate change affects all sectors of the economy, financial institutions are realising the significant impact this will have on their customers and, ultimately, their own profit margins.
FX primary venues seek reversal of fortunes
EBS and Refinitiv fight to restore market share – but bilateral trading may be too entrenched, dealers say
Podcast: Leveraging real‑time data feeds for faster business decisions
The markets have been on a very volatile ride in 2022, which makes low-latency data more crucial to the business
Illiquid assets throw UK pensions off balance
Collapse in equity and bond prices leaves some funds with outsized exposure to private holdings
Regional banks beef up FX pricing tools
TraderTools’ PriceOn tech enables regional banks to internalise FX flows similar to top-tier dealers
Interpolating commodity futures prices with Kriging
A futures price’s term structure is built to account for trends and seasonality effects
Quant house of the year: Crédit Agricole CIB
Asia Risk Awards 2022
XVA solution of the year: Murex
Asia Risk Awards 2022
FX hedging dilemma vexes corporates as costs spiral
High volatility jacks up option prices, forcing firms to reconsider hedging activities
How Citi is handling topsy-turvy rates markets
Talking Heads 2022: Rate hikes and inflation have forced a rethink of the US bank’s hedging strategies
Market-making by a foreign exchange dealer
An optimal liquidity model for pricing and hedging decisions is presented
‘Repo by the minute’ could reshape lending – but not quite yet
Blockchain-based platforms from JP Morgan and Broadridge offer smart contracts that enable intraday repo
Key actuarial transformation trends across Apac in 2022
Digital transformation has resulted in growing market complexity. This has been heightened by both the introduction of more regulations for insurers and consumer demand for customised insurance coverage
Repo haircuts and economic capital: a theory of repo pricing
The author proposes a repo haircut model that will identify capital for repo default risk as the main driver of repo spreads and allow investors to settle at an optimal combination of the haircut and repo rate.
FX needs for Apac corporates in 2022
This white paper examines the results of a survey, conducted in association with Bloomberg, that offers insight into how corporations based in Apac interact with the FX market
The contractual dividend bleed
Models for dividend protected options need to compensate for valuation mismatches
Linking performance of vanilla options to the volatility premium
A framework to account for vanilla options' performance in trading strategies is presented
Mutual funds struggle to value Russian bonds
Filings show just how challenging pricing securities has been during crisis
Swap rate: cash-settled swaptions in the fallback
A fallback pricing method that reduces vanilla swaptions’ complexity is introduced
Semi-analytic conditional expectations
A data-driven approach to computing expectations for the pricing and hedging of exotics
What drives the convertible bond market?
This whitepaper looks at the key drivers that influence the convertible bond market and how it provides unique opportunities for both investors and issuers.