Last year, when the clearing house proposed adding a 15% operational buffer to its default fund – instead of enforcing the ...
Antonov’s latest paper, co-authored with Lopez de Prado and Adia’s co-head of quant R&D Alexander Lipton, compares HRP with the original Markowitz method and finds that it produces more robust risk ...
The increase was primarily driven by cross-border credit to non-bank financial institutions (NBFIs), which climbed by $495 billion over the quarter, reaching an annual growth rate of 13.5% – the ...
Risk.net, FX Markets.com, WatersTechnology.com, Central Banking.com, PostOnline.co.uk, InsuranceAge.co.uk, RiskTechForum.com ...
The bombshell claims were published last month in a paper titled ‘Anonymity, signalling and collusion in limit order books’, ...
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New paper argues that repo users might relocate offshore or use other means to avoid US Treasury clearing dragnet ...
In November, UBS Securities reported the lowest targeted residual interest (TRI) – the minimum amount of own funds futures ...
There has long been a cross-Atlantic balance to the government bond versus futures basis trade, with the US version requiring selling futures and the European version doing the opposite. But dealers ...
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