Quants often need to develop algorithmic decision rules for selecting execution strategies based on trade characteristics. While A-B testing is commonly used to evaluate potential decision rules, it ...

Traders have piled into basis swaps crossing secured and unsecured overnight US dollar rates in recent weeks, as anticipated and existing funding pressures hit repo markets. Weekly volumes of federal ...

The derivatives UniCredit used to discreetly build a stake in Commerzbank have inflated the Italian bank’s market risk gauges, lifting model-based capital charges by 62.5% in the third quarter. Market ...

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