Valuation
Intraday pricing: fixed income’s next frontier
With firms looking to price fixed income securities on an intraday basis, specialist pricing providers such as LSEG help address cost, complexity and time-to-market challenges
The race to model private market risks
BlackRock maps holdings to risk factors; competitors aim to get the best from statistical methods
Valuing private equity analytically
A framework that includes liquidity and market completeness for PE valuation
Banks urge EBA to delay risk benchmarking amid Iran conflict
Risk managers say hypothetical portfolio exercise clashes with severe market turbulence
Degree of Influence 2025: Derivatives pricing dominates; quants don’t follow the AI herd
Rates and volatility modelling, as well as trade execution, top quants’ priorities
There’s a punt factor in stocks that investors might be missing
Speculative trading creates linkages between crypto and equities that vary depending on the stocks in question
XVA desks may be standard – their tech and mandates aren’t
A decade into centralised management of XVAs, Risk Benchmarking data finds divergent approaches to pricing, methodologies and tech stacks
AI as pricing law
A neural network tailored to financial asset pricing principles is introduced
Tariff volatility pushes banks to tighten close-outs
Lawyers say dealers are looking to update playbooks for terminating derivatives trades
Pricing and valuation systems 2024: market and vendor landscape
The landscape of pricing and valuation systems, considering the unique demands of different financial assets, as well as their market dynamics and interdependencies
Fed’s new liquidity rule spells more pain for regional banks
Limit on HTM assets follows move to deduct unrealised losses from capital buffers
An entropy-based class of moving averages
The author proposes a family of maximum-entropy-based moving averages with a framework of a moving average corresponding to a risk-neutral valuation scheme for financial time series applied to generalized forms of entropy.
Bridging the gap risk reloaded: modelling wrong-way risk and leverage
A model extends the counterparty risk calculation to include nonlinear and complex portfolios
Skylight finds an opening in consensus pricing
Service provider claims key factors differentiate its own offer from the market leader’s
Price check: is your firm keeping pace with IPV?
How growing regulatory pressure around data is affecting banks’ pricing and valuation control
How HSBC got better at pricing share buy-backs
Monte Carlo approach generates faster, more reliable pricing for complex deals
EBA seeks to tighten up uneven prudent value adjustments
Regulator to consult ‘soon’ on changes to improve consistency of capital deductions
How corporates are tooling up for FX risk
Unstable markets have forced corporate treasurers to adopt whizzier methods for managing currency exposures
Be careful what you’re paid for
Pinning down the illiquidity premium in private credit is no easy task
Pension funds weigh corporate bonds as margin for gilt repo
Stung by disastrous losses during last year’s LDI squeeze, funds consider greater range of collateral on gilt repo