Derivatives
LPI swaps with a smile
Inflation models tend to be poor at capturing the high sensitivity of Limited Price Index (LPI) swap payoffs to year-on-year smiles and correlations, and consequently miss market quotes. Yann Ticot and...
Eleven EU states have agreed to implement a harmonised financial transaction tax, due to begin in January 2014. The tax has a huge extraterritorial reach, posing serious questions about its impact on Asia...
The draft form of the EU's proposed financial transactions tax is 'unworkable' for European firms operating in Asia
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How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
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Special report: Asean
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Bilateral CVA of optional early termination clauses
The value of early termination clauses in derivatives depends crucially on the type of close-out value used and on the counterparty risk, and embeds optionality in even the most vanilla swap contracts. In the case of the so-called risk-free close-out,...
Variable annuity products must avoid the derivatives witch hunt
Warren Buffet once famously described derivatives as “financial weapons of mass destruction”. The ‘Sage of Omaha’, in one of his annual letters to shareholders in his Berkshire Hathaway company, described derivatives as “time bombs”, both...
Libor/OIS spread challenges insurers' risk management programmes
Moves to central clearing of many derivatives will mean hedge assets and margin will be valued using the overnight interest rate. Yet insurers’ liabilities are still valued with reference to a Libor rate. For those insurers that are significant users...
Insurers 'should be exempt from initial margining requirements' on ALM...
No economic need for initial margin on non-centrally cleared derivatives, argues Insurance Europe
Latest Issue: Volume 15/Number 3, Spring 2013
Farid AitSahlia Warrington College of Business Administration, University of Florida The twin objectives of risk diversification and expected return maximization are essential to portfolio efficiency. However, what constitutes an appropriate measure...
Breaking break clauses
The value of early termination clauses in derivatives depends crucially on the type of close-out value used and on the counterparty risk, and embeds optionality in even the most vanilla swap contracts. In the case of the so-called risk-free close-out,...
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
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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