This technical paper provides a comprehensive literature review of the convertible bond model, as well as discussing the theory behind it and its validation.
Recently appointed to take charge of investment policy at the Asian arm of Swiss private bank Lombard Odier, Jean-Louis Nakamura says the allocation of risk, rather than capital, is key to success
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A common criticism of risk models is that they have a tendency to underestimate the risk associated with optimized portfolios. Quantitative portfolio managers have historically used a variety of ad hoc techniques to overcome this issue in their investment...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
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