Corporate issuers of inflation-linked bonds have had to deal with a double whammy in the post-crisis years. First, the death of monoline-wrapped issuance slashed demand for their debt. Then, when companies...
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
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This addendum corrects an error in the notation of earlier versions of our paper "Partial differential equation representations of derivatives with bilateral counterparty risk and funding costs" that appeared on SSRN in 2010 and in Volume 7, Issue 3 of...
We study the pricing of a continuously collateralized credit default swap (CDS). We make use of the "survival measure" to derive the pricing formula in a straightforward way. As a result, we find that, even under a perfect collateralization, there exists...
Trust is the invaluable commodity in finance, but it is currently in short supply and the measures put in place to restore it appear to be just another layer of fake tan. That has not stopped banks from selling all kinds of investment products that...
The US Federal Reserve Board is proposing to limit exposures to single counterparties at a time when regulation is moving more risk into clearing houses. It’s a clash that needs to be resolved, banks say. By Lukas Becker
It's hard to find anyone involved in financial markets with a good word to say about the current environment of risk aversion and regulatory upheaval. Maroun Edde, Paris-based chief executive of trading and risk system vendor Murex, is an exception. “For...
Scientific theories are supposed to be smooth processes, with progress building on progress. But sometimes a theory gets such a shock that it needs to be completely rethought – and quantitative finance is in the middle of such an upheaval
A new consultation paper on risk management practices in the FX market will be released in the third quarter – and may be published as early as this month
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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