Quants often need to develop algorithmic decision rules for selecting execution strategies based on trade characteristics. While A-B testing is commonly used to evaluate potential decision rules, it ...

Traders have piled into basis swaps crossing secured and unsecured overnight US dollar rates in recent weeks, as anticipated and existing funding pressures hit repo markets. Weekly volumes of federal ...

Trade repositories (TRs) responsible for collecting and storing details of executed derivatives trades stopped exchanging ...

The Reserve Bank of India (RBI) has pushed back the implementation of its initial margin requirements for non-cleared ...

The BGC-owned exchange’s volumes have so far been underwhelming compared with rival CME Group’s rates complex. Open interest ...

BNP Paribas integrated exposures stemming from auto leasing subsidiary Arval into its credit and operational risk frameworks ahead of Basel III implementation next year, generating €20.2 billion ...

Greening a portfolio in a meaningful way is an asset allocation conundrum many struggle – and fail – to address effectively.

TD Bank plans to sell up to $50 billion of low-yield investment securities after being hit with a $3.1 billion fine and a cap on its US subsidiaries’ assets for anti-money laundering (AML) failures.

Risk Quantum analysis shows that only 1.82% of prefunded default resources at 15 central counterparties (CCPs) came from ...

Standardised approaches grew to cover two-fifths of Raiffeisen Bank International’s (RBI) credit risk-weighted assets (RWAs) in Q3, as the lender stashed proceeds from ongoing liquidation of its ...

Hedge funds that used exotic foreign exchange derivatives to buy cheap forward exposure to volatility around the US ...

The study of so-called market impact – how an investor’s trades move market prices – is a field Neil Chriss knows well. He ...