Derivatives
Hybrid correlation matrices
Original headline:
Integrating available implied volatility data into a historical correlation matrix is an essential part of calibrating a Monte Carlo credit value adjustment pricing simulation at the portfolio level, but...
Original headline:
The value-at-risk of portfolios needs to account for non-linear effects in the loss distribution’s dependence on risk factors. Using the classical Cornish-Fisher expansion, Helmut Lutz and Carsten Wehn...
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Section 716 of the Dodd-Frank Act is based on a misperception of OTC derivatives, says acting OCC head - who also acknowledged criticism of US uncleared margin proposals
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Lack of long-dated instruments hampering offshore RMB market
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A strong demand for long-dated offshore RMB instruments is not being met by the market, according to one Hong Kong corporate
CCPs should have last word on OTC clearing, says FOA
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Supervisors should not be able to force clearing houses to accept certain classes of OTC derivative, says FOA's Belchambers
FIA appoints new president
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Walter Lukken, chief executive of pioneering clearing house NYPC - and former CFTC commissioner - replaces John Damgard, FIA head of 30 years
Solvency II asset charges will not stop insurers funding banks
Original headline:
Solvency II is expected to lead to changes in insurers’ investment strategies. Janko Gorter and Melle Bijlsma argue that the effects on the financial markets and the real economy may not be as significant as some have suggested
Perturbed Gaussian copula: introducing the skew effect in co-dependence...
Original headline:
Gaussian copula models are often used in the industry when single-asset information is quoted but little is known about their joint relation. These models may arise from correlated stochastic Brownian processes with deterministic volatility and correlation....
Being particular about calibration
Original headline:
Following previous work on the calibration of multi-factor local stochastic volatility models to market smiles, Julien Guyon and Pierre Henry-Labordère show how to calibrate exactly any such model. Their approach, based on McKean’s particle method,...
Risk.net: Top 15 stories of 2011
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Derivatives pricing, collateral and Basel 2.5 and Basel III are the most read stories of 2011
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