Page 4 - Four Take News Today : Breaking News, Live Updates & Top Stories | Vimarsana

Risk.net Barclays quant proposes methodology for factoring hedging costs into derivatives valuations Dealers make various adjustments to the fair value of derivatives contracts to account for the credit risk, funding costs and capital requirements associated with these transactions. But, somehow, the cost of hedging has so far escaped the attention of XVA desks. While it is standard practice to set aside ad hoc reserves to cover the cost of hedging, a formal mathematical formula for calculating these has been lacking. “Banks typically take transaction costs into account, but normally usin...

Fallback spreads for all currencies could be fixed together, even if some benchmarks survive past 2021

Conflicting results fuel arguments over dividends and buybacks

Risk.net Quants unveil new technique for controlling extrapolation by neural networks According to a popular internet meme, there are two types of people in this world: those who can extrapolate from incomplete data. Neural networks will probably struggle with that one. As quants race to deploy neural networks in finance, they are running into a common problem. Neural networks require huge datasets to train, but they do not always extrapolate well when faced with new situations.   “Neural networks can fit the data very well within the region of training, but can produce completely unpredic...