Optimisation
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Simm template to be expanded for SA-CCR and FRTB
Crif-plus will capture risk exposures for all instruments, boosting optimisation potential
Optimal electricity distribution pricing under risk and high photovoltaics penetration
The authors model a hierarchical Stackelberg game in a competitive power market under high behind-the-meter photovoltaics penetration and demand-side uncertainty, with emphasis on the feedback loop between distributed generation via photovoltaics and…
Solving the domino effect of delayed trade allocations
One year on from the pandemic-driven volatility of March 2020, Joanna Davies of Traiana looks at how buy-side firms can gain greater visibility and efficiency in exchange-traded derivatives (ETD) markets
Optimisation firms prep for SA-CCR boom
Flush with new cash, vendors ready rebalancing services ahead of risk-sensitive leverage framework
OTC infrastructure service of the year: Capitalab
Risk Awards 2021: valiant effort to solve swaptions discounting problem wins praise from clients
Rising stars in quant finance: Iuliia Manziuk and Bastien Baldacci
Risk Awards 2021: new research tackles ‘fundamental’ but largely ignored smart order routing problem
The economics of debt collection, with attention to the issue of salience of collections at the time credit is granted
This paper considers the role of policies that protect consumers from aggressive debt collection tactics.
Mixed response to Esma’s clearing carve-out for optimisation
Long-awaited proposal must be replicated by US and UK to be effective, participants say
Achieving a holistic view of risk in times of crisis
What happens when risks become too global in scope and increasingly uncertain for a business to manage? Jeroen van Doorsselaere, senior director – finance, risk and regulatory reporting value propositions at Wolters Kluwer, explores the key steps to…
Smaller drawdowns, higher average and risk-adjusted returns for equity portfolios, using options and power-log optimization based on a behavioral model of investor preferences
The authors use a power-log utility optimization algorithm based on a behavioral model of investor preferences, along with either a call or a put option overlay, to reverse the negative skewness of monthly Standard & Poor’s 500 (S&P 500) index returns…
Delivering certainty in uncertain times
TriOptima explains how it combines the reduction of gross notional exposure and the conversion of net risk exposure to deliver outsized results, partnering its portfolio compression network with core net ICE Libor over-the-counter swap portfolios
A regime-switching factor model for mean–variance optimization
In this paper the authors formulate a novel Markov regime-switching factor model to describe the cyclical nature of asset returns in modern financial markets.
The impact of shareholders’ limited liability on risk- and value-based management
In this paper, we analyze the consequences of shareholders’ limited liability for the risk- and value-based investment decisions made by a nonlife insurer under solvency constraints.
Uncleared margin – The changing needs of buy-side firms
Raf Pritchard, head of triResolve, discusses the initial margin calculation and collateralisation challenges for firms coming into scope under phases five and six of the uncleared margin rules
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…
How pre-trade IM calculation can optimise and reduce collateral drag
With firms under pressure to make their systems compliant with uncleared margin rules (UMR), the increase in margin requirements has put further strain on the availability of high-quality liquid assets. Mohit Gupta, senior product specialist at Cassini…
A simulation-based model for optimal demand response load shifting: a case study for the Texas power market
This paper describes a case study of analyzing DR load-shifting strategies for a retail electric provider for the Texas (ERCOT) market using a Monte Carlo simulation with stochastic loads and settlement prices.
MVA taking the long road to acceptance
Four years on, the adjustment is still not a standard part of non-cleared swap pricing
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
Opening the buy-side liquidity pool
Vikash Rughani, business manager at triReduce and triBalance, outlines a new approach enabling buy- and sell-side participants to optimise the transition of legacy Libor over-the-counter swaps contracts to alternative reference rates
Prime services – It’s about what you bring
There are many benefits to integration – particularly when it comes to the provision of prime services. Societe Generale has followed this path, which has allowed it to improve cost efficiency and improve the range of products it can offer. The bank has…
Reduced-form capital optimisation
A linear approximation to an allocation technique provides a solution for banks’ capital managment
Factor investing: get your exposures right!
This paper is devoted to the question of optimal portfolio construction for equity factor investing. The authors discuss the question of multifactor portfolio construction and show that the simplistic approaches often used by practitioners tend to be…