Best Convertible Arbitrage/Volatility Hedge Fund: Shortlisted
The Gaussian copula collapsed as a means of pricing collateralised debt obligations in the crisis of 2008, as to match prices and deltas nonsensical correlation parameters were required. By adapting the...
A new study looking at reverse convertibles in the Dutch market, one of the most developed in the world, has concluded that plain vanilla and knock-in reverse convertible bonds are, on average, overpriced...
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
More Arbitrage articles
German municipalities have long been active users of derivatives, although not always for the right reasons. Several municipalities, attracted by the potential to manage the interest rate risk on their massive deficits, recently had their fingers burnt...
When one knows the correct value of a tradable asset and the asset price diverges from that value, future convergence may present a good trading opportunity. However, the trader still has to decide when and how aggressively to open the position, and when...
Nabil Kahalé describes a new construction of an implied volatilities surface from a discrete set of implied volatilities that is arbitrage-free and satisfies some smoothness conditions. His method provides an excellent fit to the smile of the local volatilities...
The buy-side is waking up to risk management, and techniques originally developedfor trading desks are finding a new audience. In the first of two themed articles,Stephen Rees argues that the traditional buy-side risk management tool, trackingerror, should...
Securitisation and related forms of credit risk transfer are unlikely to suffer in the long-term under the Basel II proposals, according to a report published today by financial and risk management consultancy, Mercer Oliver Wyman.
To most of us, correlation measures the interdependence of random variables.To statisticians, correlation is a misleadingly simple linear measure. While this pointhas been made before in Risk, here Paul Embrechts, Alexander McNeil andDaniel Straumann...
Technology can provide a competitive advantage in banking. How it is applied by Tier 1 and Tier 2 institutions, to the benefit for their risk management systems, is discussed.
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