Quants often need to develop algorithmic decision rules for selecting execution strategies based on trade characteristics. While A-B testing is commonly used to evaluate potential decision rules, it ...
The derivatives UniCredit used to discreetly build a stake in Commerzbank have inflated the Italian bank’s market risk gauges, lifting model-based capital charges by 62.5% in the third quarter. Market ...
Traders have piled into basis swaps crossing secured and unsecured overnight US dollar rates in recent weeks, as anticipated and existing funding pressures hit repo markets. Weekly volumes of federal ...
BNP Paribas integrated exposures stemming from auto leasing subsidiary Arval into its credit and operational risk frameworks ahead of Basel III implementation next year, generating €20.2 billion ...
The Reserve Bank of India (RBI) has pushed back the implementation of its initial margin requirements for non-cleared ...
Trade repositories (TRs) responsible for collecting and storing details of executed derivatives trades stopped exchanging ...
The BGC-owned exchange’s volumes have so far been underwhelming compared with rival CME Group’s rates complex. Open interest ...
Standardised approaches grew to cover two-fifths of Raiffeisen Bank International’s (RBI) credit risk-weighted assets (RWAs) in Q3, as the lender stashed proceeds from ongoing liquidation of its ...
Greening a portfolio in a meaningful way is an asset allocation conundrum many struggle – and fail – to address effectively.
The US bank has $40 billion in client assets on its SMA platform, Nexus. Of this, $25 billion sits in Nexus Prime, where institutional investors can gain leveraged exposure to hedge fund strategies in ...
Barclays and HSBC are building new risk models to meet revamped trading book rules, Risk.net has learned. The UK pair are the sixth and seventh banks identified by Risk.net to be persevering with the ...
Risk Quantum analysis shows that only 1.82% of prefunded default resources at 15 central counterparties (CCPs) came from ...
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