Pricing
Navigating IFRS 9: strategies for effective implementation and moving beyond
There has been a constant change within the landscape of financial reporting, and IFRS 9 has been proven to be a critical component.
Adapting to economic uncertainty: Internal audit's journey
In this report, internal auditors in different sectors have shared their experiences and strategies, providing valuable insights for others facing similar challenges.
Analytic risk-free rates option pricing with smile and skew
An arbitrage-free short-rate model for backward-looking compounded rates is presented
Plugging the leaks in skewed pricing
Liquidity recycling has made it trickier for LPs to identify information leakage
Banks unravel data conundrum as FRTB implementations stall
This Risk.net rapid read survey report details how much progress banks have made in implementing FRTB and highlights the major challenges they face in gaining data insight, both for the SA and the IMA.
Podcast: Artur Sepp on rates volatility and decentralised finance
Quant says high volatility requires pricing and risk management models to be revisited
360° of climate: indices for every objective
This white paper explores a variety of climate strategy targeting objectives, including low carbon, fossil fuel-free and net zero to enable investors to respond to the risks and opportunities of the climate challenge.
Shhh, don’t tell: the struggle to keep skew under wraps
Liquidity recycling by clients has made it more difficult for banks to keep skews quiet
The evolution of the fixed income tradable ecosystem: North American and European credit markets
Fixed income tradable indexes are designed to provide an efficient means to measure the bond market. This paper offers an introductory reference for these instruments and highlights their performance in recent market periods.
EU’s late CDS transparency push triggers trader fears
Leaked proposal to shoehorn public disclosure of CDS into Mifir placates Esma, but alarms traders
Dora ‘critical tech vendor’ designation could cast a wide net
Experts think cloud services, data providers and software firms are all in regulators’ sights
The quintic Ornstein-Uhlenbeck model for joint SPX and VIX calibration
A new model that jointly fits the smiles of VIX and SPX is presented
SG1 growth slower than expected, say LPs
Despite sluggish take-up of Singapore FX matching engines, some hope a new NDF venue will offer a boost
The case for modularity and interoperability
This report, produced by WatersTechnology and Broadridge, investigates the extent to which firms have optimized their entire trade lifecycles, the structure, challenges and interoperability of their front-office systems, and what they most value when…
Integrating ECL onto a stress-testing platform: portfolio composition
How to grow a portfolio that is internally consistent with a stress scenario
Decrypting crypto: understanding the requirements for successful institutional participation
Part 2 of this new white paper series continues to explore the adoption of cryptocurrencies within institutional markets.
ESG strategies special report
This Risk.net special report sponsored by SAS features a series of articles that reflect on the latest initiatives for consistent standardised global frameworks for measuring ESG, consider the methodologies investors are using to make measurable progress…
Integrating ECL onto a stress-testing platform: credit risk characteristics
How credit loss in the ECL process can leverage changes in the credit risk profile of a portfolio during a stress scenario
Integrating ECL onto a stress-testing platform: scenarios
Strategies for producing stress-testing ECL values that comply with IFRS 9, as well as CECL standards
Reading Between the Fines: A Deep Dive into Financial Institution Penalties in 2022
Fenergo’s latest research report on financial institution penalties in 2022 is available now. Key analysis shows that fine values in the Asia-Pacific region were just 0.77% of what they were in 2021.
It’s not easy being green: why the FX market is lagging on ESG
And what’s being done to fix it
Complying with climate risk framework standards for streamlined processes
Conscious that climate change affects all sectors of the economy, financial institutions are realising the significant impact this will have on their customers and, ultimately, their own profit margins.
FX primary venues seek reversal of fortunes
EBS and Refinitiv fight to restore market share – but bilateral trading may be too entrenched, dealers say
Podcast: Leveraging real‑time data feeds for faster business decisions
The markets have been on a very volatile ride in 2022, which makes low-latency data more crucial to the business