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 ...

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.

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 ...

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 first mid-year recalibration of the standard initial margin model under a new semi-annual regime will trigger a ...

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

Structured products issuers typically hedge the exotic risks of autocallable notes by slicing and dicing these exposures into ...

The deal contingent (DC) hedge market has been making a comeback, after President Trump’s chaotic tariff policies in April ...

The Commodity Futures Trading Commission is set to vote on a proposal that would allow US investors to clear their yen interest rate swaps at the Japan Securities Clearing Corporation (JSCC), ...

Risk managers and clearing brokers fear the move to 24-hour stock trading will give them sleepless nights, literally, with questions swirling around how settlement fails, margin calls and possibly ...