Talking Heads 2023: A turf war in credit markets
Banks are looking to reclaim territory they previously ceded to market-makers and private funds
Source: risk.net
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Top News In Sur Take Today - Breaking & Trending Today
FX-style crypto platforms could bridge gap with TradFi
Emergence of execution-only ECNs, prime brokers and clearing houses brings new confidence in crypto
Source: risk.net
How a machine learning model closed a hidden FX arbitrage gap
MUFG Securities quant uses variational inference to control the mid volatility of options
Source: risk.net
The AOCI elephant in the DFAST room
After March’s banking crisis, Fed stress tests should adopt harsher and wider ranging rate scenarios
Source: risk.net
Backtesting expected shortfall: mission accomplished?
A rigorous backtest for ES cannot exist, but a good approximation might do the job
Source: risk.net