A hybrid linear pricing model is developed using a min-max approach with a Lévy-frailty multivariate default model, ...

This paper outlines a new means to include macroeconomic variables in exposure at default models while satisfying all IFRS 9 ...

JP Morgan’s global head of credit structuring, Denis Gardrat, has left the US bank to lead Rivage Investment’s newly formed ...

The European Securities and Markets Authority could be nimbler, like the Bank of England, according to a clearing house ...

Ian Hale has joined RBC Capital Markets as head of European inflation trading, having left UBS in December. Hale will oversee ...

Dr. Yimin Yang has over 20 years of experience in financial risk management, including building and leading risk analytics for two top US banks: PNC and SunTrust Banks. His risk management expertise ...

Initial margin (IM) breaches surged at central counterparties (CCPs) worldwide in the second quarter, driven by ...

CME’s foray into event contracts with online gaming company FanDuel has brought some resolution to one of the odder mysteries ...

A senior European regulator has praised Japan’s recent reprieve of a contentious element of new trading book capital rules, ...