Options
Portfolio optimization for American options
In this paper, the authors construct strategies for an American option portfolio by exercising options at optimal timings with optimal weights determined concurrently.
Brexit drama muddies water for FX options market
Traders focusing on new dates – and scenarios – after domestic UK criticism of proposed deal
How to stress-test portfolios for Brexit and trade wars
Options markets point to likely market moves in different scenarios, write StatPro risk specialists
Obstacles and opportunities in adopting cloud computing
Sponsored Q&A
Hong Kong stock slump hits CBBC desks
Surging volume and rising leverage expose issuers to gap risk on hedges
Keeping up with cloud adoption
Risk.net convened a webinar in collaboration with Murex to explore how, as more financial institutions move to the cloud, they can get the most out of their technology investments
The traditional buy versus build trade‑off
Firms undecided between buying from a vendor or building bespoke software can look to Beacon, whose ‘buy-and-build on-top-of’ offering combines the best of both options, writes Alex Sayle, global head of platform engineering at Beacon Platform
A real option analysis on retiring existing coal-fired electricity plants in the United States
This paper looks at the conditions under which a reasonable green policy by a US state encourages the early replacement of existing coal plants with new natural gas plants.
Interest rate ETD open interest drops in Q2
Open interest in options and futures contracts combined dropped 12%
Covering the world: global evidence on covered calls
Typical covered call strategies may be decomposed, using a risk and performance attribution methodology, into three components: equity exposure, short volatility exposure and equity timing. This paper applies that attribution methodology to covered calls…
Pensions and insurers give new impetus to Asia’s ETFs
Cost-conscious institutional investors are embracing exchange-traded funds (ETFs) to lower transaction fees and achieve higher returns. Hong Kong Exchanges and Clearing (HKEX) explores the theme of yield‑chasing among insurers in Asia’s expanding ETF…
Ice Clear Europe had a top margin breach of $91 million in Q1
A total nine breaches are reported, averaging $14 million
New frontiers
Innovative investment opportunities are helping to mitigate risk and satisfy Solvency II capital requirements as insurers face continued economic uncertainty. Frederic Morlaye, managing director, insurance and capital management solutions, Global Markets…
EC official offers hope to prop traders on capital rules
Official sees problems in draft regulation, says EU council and parliament are discussing them
End-users fear loss of Mifir’s open-access promise
Exchange groups have 30-month exemption from access rules; listed derivatives users concerned it will become permanent
Short-vol products pose new risk to investors, experts warn
Vix manipulation reports may be leading investors to pile back into risky short-volatility products
Cash no longer king in European swaptions
Barclays executives explore weaknesses of current pricing formulas for cash-settled swaptions
Now casting: options traders needed for disaster movie
Gamma deserves share of spotlight in volatility drama
Euro swaptions market prepares for pricing revamp
Interdealer market to adopt collateralised cash price from July, but some fear impact on legacy books
Optimal equity protection of Solvency II regulated portfolios
In the context of equity investments, this paper examines the relationship between the cost of acquiring protection (in the form of put option) and the reduction of capital charges that it entails. The paper develops the idea that Solvency II regulations…
LCH, CME or OTC? Forex traders weigh their options
Bilateral trading costs bite but dealers lukewarm on both firms’ plans for forex options clearing
Transneft quits OTC market after settling $1bn swaps case
Russian market participants edgy after settlement leaves disclosure duties unclear