Tag Archives: mathematical finance

Market risk officers are overstretched, does anyone care?

Originally posted on Stonegate Search:
Throughout every sell-side market risk function I know pretty much every Managing Director (or equivalent) has been complaining about the amount of time they have to spend dealing with regulators. At first it was a…

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Swaps: Interest rate swap duration Interest rate swaps have a duration?

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Multi-asset risk measures. We study risk measures for financial positions in a multi-asset setting, representing the minimum amount of capital to raise and invest in eligible portfolios of traded assets in order to meet a prescribed acceptability constraint. We investigate … Continue reading

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