Optimisation
Mean–variance insurance design under heterogeneous beliefs
The authors investigate a problem of optimal insurance in which the insured and the insure hold heterogenous beliefs concerning loss distribution and demonstrate their results with analytical and numerical examples.
As exposures mount, energy firms take up credit optimisation
Energy turmoil spurs demand for new counterparty rebalancing services in gas and power markets
Bank balancing: optimising margin and capital in a higher rate environment
This Risk.net paper, featuring leading practitioner insights, assesses the challenges banks are facing in the new higher-for-longer interest rate environment, and the strategies and tools they are using to optimise margin and capital on their derivatives…
Harnessing the power of data to optimise intraday liquidity management
Aaron Ayusa, director of client success at Baton Systems, explains the benefit of using data derived from real-time reconciliations to optimise intraday liquidity management
Sherman ratio optimization: constructing alternative ultrashort sovereign bond portfolios
This paper explores the Sherman ratio and find that it has merit in the optimization of portfolio construction.
EU snub to clearing carve-out hurts optimisation efforts
Forcing firms to clear risk-reducing trades would squeeze collateral and potentially hike liquidity risk, dealers warn
Revival of off-balance-sheet financing merits close scrutiny
Banks need more diverse funding sources, but new structures must be vetted carefully
Optimising swaps and forwards: mitigating risk and reducing all‑in cost
A forum of industry leaders discusses the rising cost of foreign exchange forwards and swaps under the standardised approach to counterparty credit risk, how vendors are adapting optimisation solutions to manage the impact of this new regime, and whether…
Optimal turnover, liquidity and autocorrelation
A novel optimal execution approach via continuous-time stochastic processes is introduced
Capitalab co-founder quits firm
David Bachelier leaves BGC-owned compression venture after seven years
The loss optimization of loan recovery decision times using forecast cashflows
In this paper, a theoretical method is empirically illustrated in finding the best time to forsake a loan such that the overall credit loss is minimized.
Regularization effect on model calibration
This paper compares two methods to calibrate two popular models that are widely used for stochastic volatility modeling (ie, the SABR and Heston models) with the time series of options written on the Nasdaq 100 index to examine the regularization effect…
LSEG beefs up non-cleared ambitions with Quantile deal
Agreement to buy optimisation firm for £274m strengthens LCH’s FX foothold as SA-CCR bites
Solving the data challenge: technical solutions for optimisation of risk management, capital and liquidity resources
Since the financial crisis that began in 2007–08, regulatory pressure on requirements around capital adequacy, liquidity, funding, balance sheet size and leverage has become increasingly intense. As a consequence, financial institutions need to manage…
US banks step up FX optimisation push as SA-CCR looms
With swaps and forwards hit hard by new capital measure, dealers turn to vendors and bilateral restructuring
FX forwards and swaps
LCH’s Kah Yang Chong, head of FX Emea product, and James Shanahan, head of FX quantitative analytics, discuss whether clearing of FX forwards and swaps – so far limited by requirements under UMR – will provide the efficiencies market participants need
Capitolis to acquire LMRKTS
Deal for multilateral compression provider latest in wave of post-trade tie-ups, as SA-CCR bites
An approach to simultaneously assess operational risk and maturity levels in information technology management
The aim of this paper is to investigate the operational risk and maturity level of IT in an anonymized financial institution, based on the American Productivity and Quality Center benchmark and control objectives for information and related technologies.
Turning challenges into solutions
With margin requirements a potential drain on financial resources, delivering healthy returns while meeting regulatory obligations is paramount. To help participants optimise more of their risk, Varqa Abyaneh, chief product officer, Quantile, discusses…
Next-generation technologies and the future of trading
This webinar explores how trading businesses can adapt to this new environment to improve margins and generate alpha, examining the future of trading technology, how companies will implement these new innovations and new skills that might be needed.
Navigating UMR phases five and six
As awareness grows of the complexities ahead, a panel discusses best practice, their recent experiences and the challenges in-scope firms face as they prepare to meet UMR