Risk: Where are financial institutions currently focusing their risk management efforts?
Paul Elflain: We are currently seeing all financial institutions undertaking a rigorous assessment of all their risks in business, including market, counterparty, credit, liquidity, legal and operational risk. Valuation risks associated with structured product and non-vanilla over-the-counter (OTC) derivatives are clearly going to be a big focus from here on, but we are also seeing firms placing immense focus on the reduction of counterparty risk. High-profile credit failures, such as that of Lehman Brothers and the economy of Iceland, coupled with the complexity of OTC instruments has meant that counterparty risk has become a daily concern for market participants.
More on Risk Management
In this paper, we clarify the relationships among popular methods for pricing European options based on the Fourier expansion of the payoff function (iFT method) and the simlified trapezoid rule.We suggest...
We develop efficient fast Fourier transform algorithms for pricing and hedging discretely sampled variance products and volatility derivatives under additive processes (time-inhomogeneous Lévy processes)....
Observing prices of European put and call options, we calibrate exponential Lévy models nonparametrically. We discuss the efficient implementation of the spectral estimation procedures for Lévy models...
Sign up for Risk.net email alerts
Sponsored video: Tradeweb
Multifonds talks to Custody Risk on being nominated for the Post-Trade Technology Vendor of the Year at the Custody Risk Awards 2014
Sponsored webinar: IBM Risk Analytics
Nominated for two technology awards
There are no comments submitted yet. Do you have an interesting opinion? Then be the first to post a comment.