Convergence
An iterative copula method for probability density estimation
This paper puts forward a technique with which to reconstruct a probability density function from an n-dimensional probability distribution sample and provide a theoretical justification for the proposed method.
Signing the Libor fallback protocol: a cautionary tale
As Orwell’s Room 101 beckons for Libor publication, muRisQ Advisory’s Marc Henrard warns of a potential pitfall in the fallback protocol
Banks seek new value for their efforts
As regulatory stress tests evolve and a new age of stress-testing approaches, firms are looking to maximise value by making the most of scenario-based analytics. John Voigt, principal solutions manager at SAS, explores the importance to institutions of…
Path independence of exotic options and convergence of binomial approximations
In this paper, the authors analyse the convergence of tree methods for pricing barrier and lookback options.
Evaluating the impact of Libor fallback
The planned discontinuation of Libor and other interbank offer rates (Ibors) in 2022 will affect a large number of existing financial contracts based on these benchmarks. According to some estimates, Libor-based contracts – such as interest rate swaps,…
The 2D tree–grid method
In this paper, the authors introduce a novel, explicit, wide-stencil, two-dimensional (2D) tree–grid method for solving stochastic control problems (SCPs) with two space dimensions and one time dimension, or, equivalently, the corresponding Hamilton…
Risk and finance – Better together
Changing regulations and new accounting standards are creating enormous challenges for financial organisations. Thorsten Hein, principal product marketing manager, risk research and quantitative solutions at SAS, explores why, to successfully meet these…
A helping hand – Addressing industry concerns
The Basel Committee on Banking Supervision’s final revisions to the FRTB guidelines aim to address industry concerns around complexity and capital implications. A forum of industry leaders discusses whether the changes have been effective and how banks…
Converging on sound model risk management practices
Although most banks are progressing rapidly towards a certain standard in MRM practices, the rate of progress is uneven and so are the ambition levels. Management Solutions provides a summarised overview of the state of MRM evolution and how banks are…
EBA and ECB hit out at capital hurdles to banking union
Top regulators frustrated by push to ring-fence capital and liquidity in EU subsidiaries of EU banks
Only 1% of bonds caught in first wave of Mifid transparency
Trax estimates 5% of corporate bonds will be subject to full transparency after four-year phase-in
On a family of weighted Cramér–von Mises goodness-of-fit tests in operational risk modeling
This paper applies classical theory to determine if limiting distributions exist for WCvM test statistics under a simple null hypothesis.
Power struggle: EU battles for supervisory convergence
European Commission’s review of the three supervisory authorities fraught with difficulties
A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston–Cox–Ingersoll–Ross model
The paper concerns a hybrid pricing method build upon a combination of Monte Carlo and PDE approach for FX options under the four-factor Heston-CIR model.
Cuts will hamper EBA's convergence work, regulator warns
Harmonising national rules top priority, but agency lacks staff and power
OCC 'disappointed' at lack of accounting convergence
FASB and IASB must keep trying to unite standards, say bank regulators
The death of an accounting dream
IASB and FASB have failed to bring standards together, stakeholders say
IASB + FASB = FAIL
Stakeholders have given up hope of accounting convergence
Ucits hedge funds continue to underperform hedge funds
Ucits hedge funds underperform hedge funds
Wave of new regulation brings inconsistencies and loopholes
Divergent paths
FASB softening stance in bid for convergence, say analysts
US standard-setter tilting towards IFRS on accounting for financial instruments