Arbitrage
Research finds reverse convertible products are 'significantly' overpriced...
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...
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...
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...
Don't get left behind
How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Arbitrage articles
An arbitrage-free interpolation of volatilities
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...
VAR for fund managers
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...
European buy side still lags in risk management
The findings of a recent survey show that buy-side firms have increased their focus on risk management, but are still well behind their sell-side counterparts.
Securitisation will not be damaged by Basel II, says Mercer Oliver Wyman...
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.
Pitfalls and alternatives
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...
Legal risk optimisation
Allen & Overy's Carolyn Jackson discusses the importance of a quantitative approach to legal risk.
Arbitrage
1) A trading strategy to profit from market inefficiencies in price differences of a given commodity, either at the same location or at different geographical locations. Grade arbitrage is trading the difference in the price of a commodity in the same...
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
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.
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Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
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