The authors propose a model which can be used to identify the "invisible prime" consumers from the nonprime pool for fintech ...

David Romoff teaches at Columbia University's Enterprise Risk Management program. He is a risk management practitioner with 15 years of experience in modeling market and credit risk; always adapting ...

Rules forcing large portions of the US Treasury repo market into central clearing could increase volatility in the secured overnight financing rate (SOFR), according to new research published by the ...

This was put to the test last month, as intraday volatility triggered by president Donald Trump’s tariff announcements on April 2 resulted in an explosion in trading volumes, a widening of bid-offer ...

Two years after the collapse of Silicon Valley Bank exposed the dangers of hidden interest rate risk, a Risk Quantum analysis found that fewer than half of the largest US banks disclose quantitative ...

Standard Chartered has hired John Newman as global head of rates and foreign exchange trading. Newman joined the UK bank last ...

Jörg Kienitz proposes a method for generating synthetic market data under the real-world measure P based on Gaussian mixture models (convex combinations of Gaussians). Once numerically fitted, the ...

Wells Fargo’s commodity derivatives expanded to a record $136.7 billion in notional amount in the first quarter, outpacing those of larger Wall Street rivals that typically dominate the space. The ...

Exchanges and CCPs respond to regulatory scrutiny and evolving threats with tighter vendor management and scenario refreshes ...

Structured products issuers typically hedge the exotic risks of autocallable notes by slicing and dicing these exposures into bite-sized derivatives trades, such as dispersion and corridor variance ...

Possible changes to the US supplementary leverage ratio (SLR) are more likely to be made separately – and before – a fresh ...

Former regulators are urging the US to continue active participation at the Basel Committee on Banking Supervision, arguing ...