Sensitivities
On the offensive – Seeking a new edge, buy-side invests in portfolio and risk analytics
A fast-moving, headstrong hedge fund – hit by rare losses after a black swan event touched on an overweight country exposure – ponders adding fresh quantitative expertise. Much to traders’ chagrin, the chief investment officer and chief operating officer…
Reducing noise is as important as radical change
Quants study ways to reduce noise in XVA Greeks calculations
Optimising VAR and terminating Arnie-VAR
Albanese, Caenazzo and Syrkin show how full-revaluation VAR is more accurate and robust than sensitivity-based VAR measures
Banks say Europe’s CVA proxy-spread plans lack flexibility
Dealers welcome EBA proposals but say limited number of eligible counterparties means few benefits
FRTB: Asian banks criticise simpler standardised approach
Branch entities of larger banks barred from using simplified version of SBA
LCH platform to provide risk calculations for margin hub
SwapAgent agrees to send standardised sensitivities for bilateral trades to AcadiaSoft for IM calls
Stretched margins: growing pains for Simm
The standard initial margin model could become more strained as its use expands in 2017
FRTB: a work in progress
Banks cannot wait for clarification but must forge ahead
FRTB standard rules cause worries about duplication
Sensitivity-based approach means “we have to do everything twice”, complains one head of trading
Sense and sensitivities: Isda Simm is not so simple
Three industry experts argue initial margin calculations for uncleared trades won't work without centralised calibration of sensitivities
Three months left: dealers fret over slow start to Simm tests
Banks "still working like mad" in race to implement standard margin model
Greeks with continuous adjoints: fast to code, fast to run
Marzio Sala and Vincent Thiery show the derivation of the continuous adjoint problem for PDEs
Fast gammas for Bermudan swaptions
Fast gammas for Bermudan swaptions
The beta stochastic volatility model
The beta stochastic volatility model
Cutting Edge introduction: Computation, computation, computation
Computation, computation, computation
Adjoint Greeks made easy
Adjoint Greeks made easy