High-net-worth investors pile into dollar and commodity structures as PBoC loosens
ABSTRACT This paper reports a practical approach to constructing arbitrage-free volatility surfaces that are consistent with the observed options smiles and Samuelson effect in futures markets.A separate...
The Certificate in Quantitative Finance program provides risk professionals with quant finance tools applicable to their roles, and now offers risk management electives. Join our online info session: 11 June
More Commodity articles
Tracking performance of ETFs is examined, with a focus on volatility decay
Liquidity plays a vastly underappreciated role in commodity markets
Bank withdrawals from commodity trading fail to dent enthusiasm
Shell compliance officer warns of "serious threat" posed by EU rules
Wall Street is cutting back, not quitting the market altogether
Volume 7, Issue 2 (2014)
Swap dealers playing a guessing game while complying with CFTC rules
Commodities head "doesn't lay awake at night" worried about non-banks
Vote now in the 2014 Risk & Energy Risk Commodity Rankings
Commodities are being increasingly driven by market fundamentals, say analysts, forcing investors to search harder for returns
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.