The $20.9 billion increase reflects heightened variability in cashflows during stress periods. The add-on measures the gap between a bank’s cumulative net cash outflow (NCO) at the end of the 30-day ...

Risk.net, FX Markets.com, WatersTechnology.com, Central Banking.com, PostOnline.co.uk, InsuranceAge.co.uk, RiskTechForum.com and Chartis-Research.com.

Apac investors’ use of fixed income products, the fast-track evolution of the UBS fixed income proposition and the innovations likely to be seen by 2030 ...

The changing needs of institutional investors and intermediaries, and why clients are seeking a more tailored approach to portfolio execution ...

The Basel Committee on Banking Supervision introduced a CVA capital charge in 2010, after noting that CVA variability accounted for roughly two-thirds of counterparty credit losses during the global ...

A measure of similarity is useful for the trading of illiquid bonds, identification of similar tradable alternatives and pricing securities with few recent quotes or trades. QCML for supervised ...

The Options Clearing Corporation (OCC) reported a record daily total of 102.6 million cleared contracts on April 4, the busiest single day on record for the CCP. For the full month, OCC cleared a ...

Banks sniff an opportunity to push the Fed for more openness over stress test models – and seize capital benefits ...

Martin T. Wells is the Charles A. Alexander Professor of Statistical Sciences in the department of statistics and data science at Cornell University in Ithaca, NY.

In February, Esma announced it would engage with stakeholders to identify where reporting burdens could be pared back, to ...

In his paper, Kienitz shows Gaussian mixture models ( GMM s) – a machine learning technique that has been used to fit complex ...

The US Federal Reserve has agreed to fully disclose its stress test models and introduce a suite of transparency measures by ...