Nazneen Sherif
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Articles by Nazneen Sherif
Albanese: crushing capital costs
Having tackled FVA, Claudio Albanese is now focused on capital optimisation
Traders see DVA adjustment as 'accounting fudge'
Dealers at London event remain unconvinced by controversial funding adjustment
Cutting edge introduction: Expanding collateral options
Two RBC quants propose a way to value CSAs with more than two currency posting options
UK banks won't face FRTB capital hike – BoE official
Policy expert says most trading risks already captured under Pillar 2 framework
Banks shun internal models in CVA impact study
Accounting exposures win out as banks seek to align capital with front-office practice
Veolia: taking XVAs by the horns
Veolia's Damien Vancraeyneste, on capping costs and challenging banks’ calculations
Cutting Edge introduction: Sticky SABR
Quants develop a hassle-free model that can handle negative interest rates
The rise of KVA: how 10 banks are pricing the capital crunch
Risk survey shows new add-on is gaining acceptance and could reshape the swaps business
Banks split on accounting for KVA – Risk survey
Accounting standard is coming, say some - others see no KVA requirement
KVA losses would outweigh FVA – Risk survey
Respondents reveal huge gulf in pricing for generic swap
Corporates use XVA caps to limit unwind charges
Veolia caps CVA and FVA unwind costs in trades with 10 banks
Cutting Edge introduction: Law-abiding FVA
HSBC quant develops an FVA model that preserves the law of one price
New trading book QIS tackles correlation gripes
Changes proposed for correlation, exotic derivatives and hard-to-model risks
US regulator asks banks for FVA information
OCC requests info on funding spreads, model validation and more
Standardised approaches pile up capital and data woes
Banks round on one-size-fits-all rules for market, credit and op risk
Cutting edge introduction: Adjoints - maintaining the legacy
Quants at UBS show how to speed up the calculation of sensitivities without tearing up legacy code
Dealers slam Basel plans for hard-to-model trading risks
FRTB would prevent modelling for too many risk factors, critics claim
Cutting Edge introduction: Creative stress testing
New stress-testing method offers a break from decades-old traditio
Banks find huge capital jump in FRTB impact study
QIS shows five-times increase under revised standardised approach to market risk
FVA models overstate costs – Risk.net poll
Just over two-thirds say the current FVA approach is wrong
Cutting Edge introduction: Taming MVA
Lloyds quants tackle computation of margin add-on for derivatives prices
Robert Litterman: lessons from the quant quake
Ex-Goldman partner says size, crowding and equity risk are bad for quant funds
Cutting edge introduction: Funding holes in Black-Scholes
HSBC quant builds funding costs and haircuts into Black-Scholes option pricing formula
Cutting edge introduction: Hidden models for hidden costs
NYU quants use Bayesian techniques to sequence trades, considering trading costs and multiple assets