In this paper, the eigendecomposition of a Toeplitz matrix populated by an exponential function in order to model empirical correlations of US equity returns is investigated.
MEPs propose allowing supervisors to temporarily exclude Covid-related backtesting exceptions
BNP Paribas only bank to improve RoRWA year-on-year
New paper by Nomura quant applies volatility model used in equities to exotic rate hedging
This paper estimates the currency exposure before and after the hedging of active foreign currency (FC) accounts, using stochastic models for spot exchange rates and cashflow movements.
Asia Risk Awards 2019
Volumes rise as tech giant’s debt spree forces banks to hedge their counterparty exposure
Changes to loan terms may nullify contracts and create balance sheet volatility
BofA Securities, BNY Mellon, Citi, JP Morgan and Wells Fargo had most 'up' days in four years
The implicit constraints of Fundamental Review of the Trading Book profit-and-loss-attribution testing and a possible alternative framework
This paper presents the constraints embedded in the the profit-and-loss-attribution test and explores a possible alternative framework.
G-Sibs lost on almost half of all trading days last year
Ratio of standardised approach to IMA capital estimated to increase
The Financial Accounting Standards Board's current expected credit loss rule could mean loss provisions for loans are three times higher than with International Financial Reporting Standard 9
IHCs suffered losses on 54% of trading days compared with 44% for US BHCs
French dealer holds back far more than rival dealers
A fast-moving, headstrong hedge fund – hit by rare losses after a black swan event touched on an overweight country exposure – ponders adding fresh quantitative expertise. Much to traders’ chagrin, the chief investment officer and chief operating officer…
EU Council mulls introducing only reporting requirements in CRR II, or a very low scalar
The aim of this paper is to validate profit and loss attribution generated by daily movements of option prices as seen through their Black–Scholes (Black and Scholes 1973) and Merton (1973) implied volatilities.
In this paper, the authors analyze the failure probabilities of the profit-and-loss attribution (PLA) test as defined in the final market risk standard published in January 2016 by the Basel Committee on Banking Supervision.
A look at the valuation of gas storage facilities and show how a deeper analysis of the value formation can offer insights for P&L optimisation and risk management
Consultants offer tips on eligibility framework for new internal models approach
Delays in approval and small data sets may doom internal model approach, research finds
New paper shows ways to reduce influence of reporting currency
Carlos Blanco and Alessandro Mauro explain how non-linear P&L attribution tools can improve a company’s business intelligence capabilities