The largest counterparties for complex foreign exchange options are typically the leading multi-strategy and macro hedge ...

Transaction-level data reveals $5trn in non-centrally cleared bilateral repo, raising transparency and risk concerns ...

J.P. Morgan’s PricingDirect team introduces a new autocallable model, which reflects the shift towards data-driven ...

Dealers say that the introduction of multilateral compression for US dollar/CNH cross-currency swaps at Hong Kong Exchanges and Clearing OTC Clear will help to relieve growing regulatory capital, ...

US regulatory uncertainty leaves banks cautious on investing in new optimisation tools, Risk Benchmarking study finds ...

Industrial and Commercial Bank of China (ICBC) saw its equity investments in funds balloon in the third quarter, making it the largest bank on the metric out of 34 analysed by Risk Quantum.

One solution examined by policymakers to lighten the load would be to use a multiplier to soften the overall capital ...

The Tomorrow’s Quants series explores the skills needed by new quant recruits, drawing on a survey of 39 employers, and six ...

Like many dealers, NatWest has for years had a tool that automatically trades in the underlying spot or forwards markets to ...

The authors propose an algorithm which can aid the estimation of the validity of combined risk models lacking primary data.

This paper compares two distinct modelling approaches for pricing derivative contracts on commodity excess return indexes, ...

Risk Benchmarking study finds a majority of big dealers tapping cloud capacity, some exclusively, with others migrating ...