Recent global events have not dented the popularity of dispersion trades among hedge funds, claim bankers
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,...
In this paper (in English and German), Genscape has analysed Combined Heat and Power or Central Heat and Power (CHP)production in the German market, the challenges it raises for market participants, and the key steps required to address the fundamental lack of transparency in CHP plant production.
More Correlation articles
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.
Many dealers were badly hurt by short single-stock variance positions at the end of 2008. Despite this, a number of banks have reopened dispersion desks this year to tap into renewed investor interest in the trade. Have they learned any lessons? By Matt...
Correlation in the equity markets has traditionally moved in tandem with volatility, but since June the relationship between the two has broken down. What has caused the rupture and how have investors been affected? Peter Madigan reports
Lorenzo Bergomi addresses the issue of pricing multi-asset options in the context of asynchronous markets. Using the criterion that the carry profit and loss (P&L) vanishes, he derives the expression of the correlation estimator for the asynchronous case....
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
Hong Kong, 1st - 31st Dec 2014
Japan, 24th Apr 2014
Japan, 24th Apr 2014
USA, 30th Apr 2014
USA, 8th - 9th May 2014