Market needs to move on from theoretical argument and focus on numbers
Mexico hedged against the oil price collapse while diversifying its debt investor base
Academics develop expected shortfall backtest to compare standardised and internal models
EU energy companies warn of inconsistency between two regulatory regimes
US dealers’ custom index operations under heightened scrutiny following SEC enforcement action
The papers in this issue cover a diverse range of applications and numerical techniques.
Reghai, Kettani and Messaoud present new technique to calculate CVA using adjoints
US official says regulator is examining "a case or two"
In this paper algorithms are developed using the Hamilton–Jacobi–Bellman approach for parabolic partial integrodifferential equations related to the quadratic hedging strategy in incomplete markets.
Policy-makers responding more proactively to risks than in 1997
End-users unable to execute certain trades as dealers retreat, claims swaps counsel
Accounting exposures win out as banks seek to align capital with front-office practice
US shale drillers expected to suffer as hedges expire in the second half of 2015
Clients face wider bid/offer spreads, as dealers struggle to find liquid hedges
A framework that demonstrates optimal internal pricing will deviate from ‘arm’s length principle'
Cross-currency swaps could become more expensive as firms' demand increases
Industries disagree over which of two proposed approaches should be used
Need for cash collateral could encourage pro-cyclical investing, industry says
A simple but realistic model to co-simulate the time series of temperature, electricity load and prices is proposed
Autocallable knock-in levels under pressure but losses averted
Regional bank’s commodity hedging desk flourishes amid retreat of larger dealers
Internal and external clients benefit from utility’s risk management skills
Oil hedging stabilises Mexican state finances amid price crash
Bank continues to provide liquidity despite tough markets and extreme weather