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Podcast: Olivier Daviaud on P&L attribution for options

JP Morgan quant discusses his alternative to Greeks decomposition ....

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Rethinking P&L attribution for options

A buy-side perspective on how to decompose the P&L of index options is presented ....

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VAR breaches trip up Citi, CS USA and two others in Q3

Comerica’s VAR multiplier ratchets up while Huntington’s remains at record high ....

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Risk density edges higher at UBS's legacy unit

New division established post Credit Suisse acquisition partly responsible for $785m quarterly loss ....

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EU banks balk at new market risk models backtest

EBA proposals introduce additional expected shortfall backtest for market capital risk models under FRTB ....

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