Deep Insights. Deep Expertise.
"Month: May 2021"
Revisiting our post on calibration, there’s a fairly stupid example, that at least illustrates the opportunity cost of letting other people analyse your data for you (and callibrating to read more
It’s now old news that the Basel Committee are considering scrapping VaR in favour of expected shortfall. Expected shortfall is the expected or average loss given that the loss read more
The Basel Committee’s final ruling on the treatment of valuation adjustments to liabilities are out, and they reaffirm the derecognition from Tier 1 capital of changes in DVA.
“…the Committee read more
It goes without saying that there is a significant gap between theoretical quantitative modelling and it’s practical implementation. Black-Scholes does not allow for a volatility smile, no one actually expects read more
As the future of swap clearing in South Africa remains uncertain, abroad the landscape has already shifted. CFTC regulations currently favour the trading of futures over swaps,
In November the read more