risk.net —  1+ hour ago

...Asia has not seen a full-scale military conflict in decades, but the same was true of Europe before Russia"s invasion of Ukraine, he noted.... ...“The signals we see point very much to the threat of nationalistic politics, for instance in Asia,” said Kanwardeep Ahluwalia, co-head of global... ...Valley Bank suffered fastest bank run in history, but how should others respond?... ...will favour incumbent vendors; aims to launch sandbox European regulator asks for data on the fair value and sensitivity of bonds and their hedges Silicon...

risk.net —  2+ hour, 16+ min ago

...Suisse,” said Gavan Nolan, executive director for Basel Committee chair among those who say Pillar 1 capital requirement could have helped control... ...The decision by the Swiss financial regulator, Finma, to force a merger of ailing Credit Suisse with its largest competitor, UBS, has cast doubt... ...approach looks easier, but that may not make much difference to model uptake... ...assess progress of banks towards climate goals European regulator asks for data on the fair value and sensitivity of bonds and their hedges Bank of England...

risk.net —  12+ hour, 34+ min ago

...Abi Jaber, Camille Illand and Shaun (Xiaoyuan) Li present a simple model to jointly fit the SPX-VIX smiles with only six effective parameters and... ...The quintic Ornstein-Uhlenbeck model for joint SPX and VIX calibration A new model that jointly fits the smiles of VIX and SPX is presented Eduardo... ...subscription options are not loading right now An innovative product design framework and its geometric interpretation is introduced A haircut model... ...environmental impact of financial products is proposed Adjusting RFR with a funding premium may aid economic growth and stability A market-making model...

risk.net —  1+ day, 39+ min ago

...The UK Financial Conduct Authority is considering opening-up its vast trove of market data to vendors of financial crime surveillance technology,... ...Valley Bank suffered fastest bank run in history, but how should others respond?... ...Swiss bank tested various use cases in the trading business before giving up on the technology...

risk.net —  1+ day, 28+ min ago

...The Global Foreign Exchange Committee (GFXC) is hoping to raise awareness of the implications of the upcoming shift to a T+1 settlement cycle in... ...quant's triangle method allows information geometry to be applied to hedge structuring PTFs vow to withdraw from Treasuries market in protest at SEC...

risk.net —  1+ day ago

...The International Swaps and Derivatives Association, which developed Simm, is updating the model to account for increased interest rate volatility... ...of losing volumes to slower rivals, prompting one to ditch ECNs New scheme may intensify calls for CFTC to reassess its exempt DCO limitations...

risk.net —  1+ day ago

...alumni Michael Howell says central banks can't stop pumping liquidity... ...progress of banks towards climate goals Tougher requirements could “blow a hole” of 200+bp in regulatory capital ratios – and cripple equity returns Salomon...

risk.net —  1+ day ago

...any US dealer, ahead of JP Morgan and Bank of America Charles Schwab leads charge with fourfold increase Risk-weighted assets for Japanese lender"s... ...The Fixed Income Clearing Corporation (FICC) reported one instance in the first quarter where the payment obligation that would have been triggered...

risk.net —  2+ day ago

...Richard Page, a director at KWA Analytics in London, Fred Reimer, a director based in New York, and Victor Yu, an executive president at KWA in Houston... ...This has seen KWA Analytics" clients race to ensure their energy trading risk management (ETRM) infrastructure can keep up – and be ready for change... ...Fred Reimer: Our people are our most important assets.... ...Victor Yu: Last year, we really saw the impact of the Covid-19 pandemic fading away....

risk.net —  2+ day ago

...Pablo Hernández de Cos, chair of the Basel Committee on Banking Supervision, is one such.... ...Yet, after the failure of Silicon Valley Bank in March, certain influential regulators wonder whether they should have pushed harder for strict rules...