A twist in this year’s review of buy-siders’ worries, though, is that the gloominess could become a risk in itself. Even as ...
As of end-June, $1.76 trillion in notional amounts of CDSs referenced sub-investment grade (IG) debt, with 62.1% cleared ...
We adopt the least squares Monte Carlo (LSMC) method to price time-capped American options. The cap can be an independent random variable or dependent on the asset price at a random time. We ...
Paweł Stępniak is currently pursuing a PhD in Mathematics at Wrocław University of Science and Technology, having completed his MSc in 2021. His primary research interests are in financial and ...
The Basel III endgame capital requirements may be further delayed, following the resignation of Michael Barr as US Federal ...
This article examines the key themes of a recent webinar, sponsored by S&P Global Market Intelligence, on market volatility ...
For banks and other financial Only users who have a paid subscription or are part of a corporate subscription are able to ...
The new documentation, published by the Loan Market Association on December 17 and open for consultation until February 28, ...
SGX-CDP, one of the two clearing arms of the Singapore Exchange, was hit by an operational failure lasting five hours and six ...
The Intercontinental Exchange’s rapidly executed acquisition of the American Financial Exchange, announced on January 8, caught even some top AFX executives by surprise. The unsecured funding platform ...
The authors put forward a machine learning model for the prediction of mortgage prepayment risks at the loan origination ...
The authors investigate the relationship between return realizations and pre-earnings implied volatility, finding the ...