Adjoint differentiation is an efficient way to accurately calculate the Greeks of Libor derivatives by Monte Carlo simulation. Ralf Korn and Qian Liang extend this to calculate the gamma matrices of Bermudan...
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 Cross-gamma articles
Power-reverse dual-currency notes proved a bonanza for dealers when markets were tame, but risk-managing the product has become a drain on resources and cash in recent years. As a result, some firms have decided to exit the market. Mark Pengelly investigates...
Victor Dvortsov and Ken Dragoon present an analytical method for including market and operational risks when estimating utility portfolio value-at-risk.
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
UK, 18th Dec 2013
UK, 12th Feb 2014
UK, 13th Feb 2014
UK, 19th - 20th Feb 2014
Germany, 25th Feb 2014
Updating your subscription status
Risk iPad and iPhone Apps