Under pressure from regulators and investors, hedge funds are establishing robust pricing policies for hard-to-value assets.Rubber stamping the manager's pricing model is no longer acceptable
This paper looks at competition and innovation in retail payments and their relation to payment pricing and payment efficiency. Payment markets are complex and economic theory cannot always guide us. There...
Risk would like to invite you to join us on 14 April 2014 at 10am EST / 3pm GMT for our next FREE webinar. Joining the panel discussion will be: Moderator: Duncan Wood, Editor, RISK. Athanassios Diplas, Senior Advisor, ISDA. Barry Hadingham, Head of Derivatives and Counterparty Risk, AVIVA INVESTORS. Neil Murphy, Director, Collateral Product Management, IBM RISK ANALYTICS. Click to register.
More Pricing models articles
The past 18 months have been dominated by the race to get single-dealer structured product platforms up and running. Originally designed to improve speed and efficiency, they are now helping to cut costs and take the business into the world of smaller...
Jorge Sobehart departs from the idealised concept of rational investors, introducing a simple behavioural model of market reaction to price trends that produces fat-tailed distributions of asset returns in close agreement with historical data
The replication of a portfolio of cashflow instruments with another set of cashflow instruments is frequently used in pricing and hedging. For example, replicating deposits with tradable bonds allows the treasurer to determine an approximate fair value...
Operational risk and effective risk management have taken over from exotic innovation in the structured products market. With the barriers to entry still big enough to put off new entrants to the technology market, the composition of the top 10 technology...
It can take hours for traditional bank systems to run portfolio risk models. That’s too slow for some banks, which are now exploring unwieldy – but quick – field-programmable gate arrays. By Clive Davidson
A host of tasks become magically simpler if their more demanding aspects are ignored. Cooking bouillabaisse is easy if it doesn’t have to taste nice; bullfighting is less dangerous if the torero remains outside the ring; pricing derivatives is a breeze...
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.
Hong Kong, 1st - 31st Dec 2014
Japan, 24th Apr 2014
Japan, 24th Apr 2014
USA, 30th Apr 2014
USA, 8th - 9th May 2014