CFTC steps up enforcement of data reporting violations

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The CFTC has recently been flexing its muscles to ensure firms comply with data reporting rules, handing out fines to companies such as Ice, JP Morgan and Marubeni. The moves are raising fears that energy companies and other end-users may be targeted next

Stress testing in non-normal markets via entropy pooling

Chaos Order

The authors introduce a novel approach to stress testing portfolios of financial assets. The technique extends the parametric entropy pooling approach to skewed and thick-tailed markets. An illustration with a portfolio of European options is presented