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...
Welcome to the spring 2013 issue of The Journal of Financial Market Infrastructures. It is roughly a year since the Principles for Financial Market Infrastructures were published. Recently, in December...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
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...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
Topics of interest
Sweden, 15th Dec 2013
USA, 9th Dec 2013
USA, 10th Dec 2013
UK, 18th Dec 2013
UK, 12th Feb 2014
Updating your subscription status
Risk iPad and iPhone Apps
Topics of interest