May 20th, 2015, 6:46 pm
I think you are wrong, quants are interested in helping trading desk to show a price to a client, but the new trade that enters the portfolio will affect his capital charges and the ROE for the desk which the trader (and his boss) are looking at. So the only way you know a trade is good for the bank currently is to verify if it's price adjusted by capital charges still makes sense.This is where SLR, RWA and other measures enter the gameCheers