Rabobank International has traded its first hybrid product this week. According to Michael Weber, London-based head of the bank’s hybrid division, the contract was a quarterly callable dual range accrual on crude oil and the US dollar foreign exchange rate with a one-year expiry.
The Netherlands-based bank created its hybrid group in late May. Weber was previously a partner at Eriswell Capital, a London-based multi-strategy hedge fund.
He’s joined by structurer Luuk Heuskes and quantitative analyst Jan Rosenvweig. Prior to this job, Heuskes was a structurer in the bank’s equity derivatives division in New York. Rosenvweig was a quant in hybrid derivatives at Credit Suisse in London.
The London-based group covers equity, foreign exchange, commodity, inflation and interest rate hybrids.
More on Risk Management
We consider the class of risk measures associated with optimized certainty equivalents. This class includes several popular examples, such as conditional value-at-risk (CVaR) and monotone mean-variance....
Capital allocation principles are used in various contexts in which the risk capital or the cost of an aggregate position has to be allocated between its constituent parts. We study capital allocation...
The presence of options in a portfolio fundamentally alters the portfolio's risk and return profiles when compared with an all-equity portfolio. In this paper, we advocate modeling a risk-based criterion...
This paper proposes a formula for a market stress test of a portfolio. The formula is motivated by some recent and some old developments in random matrix theory and a requirement that it be explicitly...
Sign up for Risk.net email alerts
Nominated for two technology awards
Nominated for post trade technology award
Sponsored webinar: Collateral and counterparty tracking
Isda directors warn on fragmentation, access and liquidity - but expect problems to pass
There are no comments submitted yet. Do you have an interesting opinion? Then be the first to post a comment.