Last summer, banks in the Japan structured products market were hit hard by moves in volatility – but some banks saw this as an opportunity to recycle risk to European pension funds
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Black and Litterman recommend that portfolio optimization start with a reference portfolio (eg, a performance benchmark) and inferring the returns forecast that makes this portfolio optimal. Personal views on some asset returns may then be expressed as...
BNP Paribas Total return swaps on the iBoxx corporate bond indexes were started last year by a working group of banks in which BNP Paribas took a leading role, alongside Markit. The French bank worked with JP Morgan and Morgan Stanley in the early development...
Some Ucits-compliant structured products look set to be deemed complex under new Mifid proposals. Jürgen Vandenbroucke proposes a more sophisticated way of classifying complexity in structured products
The digital option is the simplest of all derivatives contracts. At maturity, it either pays out if a certain condition is met or pays out zero if it is not met. Guus Oonincx explains the role digital options play in structured products
Volatility hedge funds operating in Asia have reported some spectacular losses since 2008. Despite this, there are still funds operating in the volatility arena. What strategies are working best and why is volatility so low?
Luca Capriotti and Michael Giles show how algorithmic differentiation can be used to systematically implement the adjoint calculation of sensitivities in Monte Carlo for general path-dependent and multi-asset options, with minimal analytical effort. With...
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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