Calibrating a local volatility model to options prices is a complicated process requiring both interpolation of liquid prices and extrapolation beyond them. Recently focus has turned to efficient numerical...
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Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Christopher Jeffery articles
The discipline of risk management is not suited to deal with systemic crises
Australia’s connections with the broader global economy are stronger than at any point in its history and these ties have helped the country to enjoy strong growth and economic prosperity. But this higher level of interconnectedness raises economic...
Buyouts and divestments were not the only interesting developments shaking up the delivery of risk management, pricing and analytics, and trading technology in the Asia-Pacific region during the past year. New rules and regulations were also a significant...
The Australian banking regulator has proposed the country’s banks meet new Basel III capital and liquidity rules two years ahead of G-20 commitments. The proposal has drawn immediate criticism from the Australian Bankers’ Association
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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