Sensitivities
Digging deeper into deep hedging
Dynamic techniques and gen-AI simulated data can push the limits of deep hedging even further, as derivatives guru John Hull and colleagues explain
After SVB downfall, EBA stress test seeks out unrealised losses
European regulator asks for data on the fair value and sensitivity of bonds and their hedges
Information geometry of risks and returns
An innovative product design framework and its geometric interpretation is introduced
Banks look back in anger as FRTB revives 1990s risk test
Institutions bemoan need for parallel framework to measure portfolios’ sensitivities to market moves
Looking beyond SA-CCR
An alternative calculation of exposure at default that handles complex portfolios is presented
Chebyshev Greeks: smoothing gamma without bias
A numerical method to obtain stable deltas and gammas for complex payoffs is presented
EU offers reprieve for fund-linked derivatives trades
Banks hope FRTB draft allowing fund managers to supply standardised inputs will cut risk weights
Deep XVAs and the promise of super-fast pricing
Intelligent robots can value complex derivatives in minutes rather than hours
Simm template to be expanded for SA-CCR and FRTB
Crif-plus will capture risk exposures for all instruments, boosting optimisation potential
A look at future exposures, through a 19th century lens
Can a centenarian maths idea speed up the calculation of forward sensitivities?
Deutsche Börse eyes quantum computing
Pilot application to model enterprise risks cuts computation time from 10 years to 30 minutes
Acadiasoft brings IM standards in-house with Quaternion buy
Deal will help data standardisation efforts and cut outsourcing risk in Simm calculation service
The impact of data aggregation and risk attributes on stress testing models of mortgage default
In this paper, the authors investigate how data aggregation and risk attributes affect the development and performance of stress testing models by studying residential mortgage loan defaults.
TSE outage throws structured notes into tailspin
Trading shutdown on October 1 disrupted observation dates for some structured products
Key steps in the transition to SOFR
Phil Whitehurst, head of service development, rates, SwapClear at LCH, offers his insight into when a term structure for the secured overnight financing rate (SOFR) is likely to be established, what will be required for this to become a reality and what…
Quant firm deploys new metric for Covid sensitivity
Los Angeles Capital debuts new factor for measuring stocks’ sensitivity to the pandemic
Monte Carlo pathwise sensitivities for barrier options
In this work, we present a new Monte Carlo algorithm that is able to calculate the pathwise sensitivities for discontinuous payoff functions.
Three adjustments in calibrating models with neural networks
New research addresses fundamental issues with ANN approximation of pricing models
Initial margin – A regulatory bottleneck
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…
The swap market Bergomi model
The combination of two popular volatility models sharpens the hedging of exotic rate derivatives