With uncertainty in financial markets seemingly at an all-time high this year, structures highly correlated to the Vix volatility index have found favour with retail and institutional investors alike....
A thirst for yield coupled with a lack of interest in plain FTSE-linked structures is rekindling demand for inflation-linked products in the UK
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.
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Equity derivatives markets have long lagged the fast migration to electronic confirmation seen in other asset classes. There are various reasons for this – the sheer diversity of instruments, geographic idiosyncrasies and differences in underlyings,...
Hedge funds and other sophisticated investors have been positioning themselves as sellers of volatility and correlation, despite recent global events. But some market participants are urging caution. Mark Pengelly reports
Kirk Buckley, Sascha Wilkens and Vladimir Chorniy present a semi-analytical approach for calculating the counterparty exposure of credit derivatives contracts conditional on the default of the counterparty, based on a Merton-type asset return model. The...
New Basel counterparty credit risk capital charges are prompting banks to examine ways of shedding CVA exposures. Some dealers have started to think about securitising the risk, but structuring these transactions is no easy task, and doubts remain over...
Following Ireland’s bail-out in November, bank risk managers accept the eurozone crisis is here to stay and are trying to guard against the worst. Some are looking for practical responses, others for smart hedges – but nobody is finding it easy. Duncan...
Correlation as a concept has value when it comes to hedging risk, but users must also recognise its limitations in predicting the likelihood of outlier events.
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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