Innovative risk-offloading trades enable the bank to power ahead of its rivals
Relaxation in some areas of Basel market risk rules offset by harsher treatment in others
Latest FRTB tweaks also include increasing granularity of commodity risk weights
Dealers tackle uncertainty over basis risk
Fund manager exploits mispricings linked to structured products and derivatives end-user flows
Crackdown on "high risk" derivative products drives up dealers' costs
Quants find way to streamline future value calculations for exotic
A new framework for derivatives pricing with valuation adjustments
Julien Guyon on path-dependent volatility models
Exotic commodity derivatives will become even less attractive to the Asian market following Ice's move to transform swaps to futures
Copulas and credit models
Which model for equity derivatives?
Vote now in the 2011 Commodity Ranking poll, organised by Risk and Energy Risk magazines, for your top counterparty dealers.
Events over the past three years have generated extreme levels of volatility in the commodities arena. In this article, Standard Chartered provides companies and investors with some keen advice on hedging against these sharp moves, and the clear advantages...
Alain Papiasse took over as chief executive of corporate and investment banking at BNP Paribas in April this year. Christopher Jeffery met with him in Hong Kong to talk about the French bank's strategy in Asia
Fair value accounting has received much criticism during the financial crisis of the past 20 months. While it is unlikely to be suspended, its execution in inactive markets remains the subject of much debate. Could independent valuation providers offer...
Equity derivatives dealers faced a grim picture across global markets earlier this year, with steep rises in correlation and volatility together with a slump in dividend expectations decimating exotic books. How have dealers responded? By Mark Pengelly
Dresdner Kleinwort Wasserstein has added four members to its exotic equity derivatives business. The hires were made to expand the team and the bank's structured products business.
Ingmar Evers and Farshid Jamshidian describe a relatively new product known as a flexi-swap and discuss its application in securitisation. A flexi-swap gives a counterparty an option to amortise the interest rate swap at an accelerated pace. They show...
Masterclass – with JP Morgan
Commodity markets exhibit multi-factor behaviour as well as mean reversion. Building upon their previous paper, David Beaglehole and Alain Chebanier conclude the current Masterclass series by developing a two-factor mean-reverting model for crude oil...