Mini-Series: Classifications in Capital Markets
If you’ve followed some of my previous email series, like the recent ones on domain values and data vendors, you’ll…
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Interest Rate Risk in the Banking Book (IRRBB)
The profitability of a bank is determined by the behaviour of its future expected cash flows. The BB contains held-to-maturity…
Technical Spotlight: SIX Group’s Valordata Feed
In my earlier posts, I examined ICE APEX and LSEG DSP within the context of migrating between data products from the same provider. This…
Fitting Risk Factors for FX Heston
Risk factors used in derivative pricing models come in two forms: observable and fitted. On the RH side of the…
Why ESG Remains Significant
Just back from London, where GoldenSource’s annual summit for EMEA customers, partners and industry leaders, NAVIGATE’25, was held last week.…
Cap Valuation
A company borrows $100m from a bank. It’s a floating rate loan tied to SOFR, the risk-free rate (RFR) index…
Data Vendor Q&A: Why Data Modelling Matters for Multi-Sourcing
To wrap up this Q&A series, I thought I’d bring all the follow-up questions I’ve received under one hat. I…
Counterparty Credit Risk
Counterparty credit risk is a fusion of market risk with credit risk. The unrealised P&L of an interest rate derivative…
Data Vendor Q&A: Maintaining Neutrality
More follow-up on my recent series about data vendors this week, because the questions keep coming One of the questions…