Cross-gamma losses estimated at more than $25m for each dealer
Official post-mortem considers claims that options hedging amplified October 15 move
Fast gammas for Bermudan swaptions
Wrong-way CVA done right
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.