Tim Mortimer discusses his trade of the month
Market-linked certificates of deposit (CDs) have become a key part of the US structured product market, particularly since the fall of Lehman Brothers. Federal Deposit Insurance Corporation protection...
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 Cliquet option articles
Union Bank has issued a five-year cliquet growth product for US investors that comes in a certificate of deposit wrapper and is linked to the Russell 2000 Index. Returns can be as high as 100% over the product term after a quarterly cap is taken into...
Traditionally, smile models have been assessed according to how well they fit market option prices across strikes and maturities. However, the pricing of most recent exotic structures, such as reverse cliquets or Napoleons, is more dependent on the assumptions...
Since the discovery that traditional calibration methods fail to capture the dynamics of the smile, new approaches based on mixtures or ensembles of models have been developed. Simon Johnson and Han Lee present a variant of this approach that can be used...
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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