Only registrants to date are MBIA and Cournot Financial Products – firms that have not traded derivatives since 2008
Derivatives and structured products remain unpopular with Thai insurers looking to hedge their liabilities following the introduction of a risk-based capital framework
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
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Withdrawal guarantees ensure the periodic deduction of a constant dollar amount from a fund for a fixed number of periods. If the fund is depleted before the last withdrawal, the guarantor has to finance the difference. Andreas Kunz derives a robust hedging...
The risk of exposure and counterparty default probability both increasing – so-called wrong-way risk – is usually understood in terms of the correlation between the two variables. But this approach is focused more on the centre of the distribution,...
In a torrid year for metals traders, Société Générale retained pole position in base metals, with UBS again leading the way in precious metals. Tom Newton reports
Muted volatility, sluggish trading activity and regulatory changes have conspired to create a tough environment for energy market participants over the past year. That has fuelled a lot of movement in this year’s Risk and Energy Risk commodity rankings....
A tax proposal from the US House of Representatives would raise taxes for individual investors on their derivatives holdings
New MAS proposals to unify investment guidelines for all insurers, and in doing so limit derivatives usage, will not affect existing investment policies for insurance firms
The asymptotic behaviour of local volatility surfaces for low and high strikes – the so-called wings – is important in option pricing and risk management. Stefano De Marco, Peter Friz and Stefan Gerhold show certain models allow for the derivation...
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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