Replication
Monitoring daily hedge fund performance when only monthly data is available...
The ability to infer daily performance from less frequently observed returns data can help hedge fund investors understand intra-month gains and losses
Some have argued that the debit valuation adjustment – which measures the benefit to a bank from its own potential for default – is monetisable. They claim replication strategies involving the dealer...
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Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
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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Replication
To replicate the payout of an option by buying or selling other instruments. In the case of dynamic replication, this involves dynamically buying or selling the underlying (or futures, where transaction costs are cheaper) in proportion to an option’s...
How can investment banks use grid technology?
Learn how technology is enhancing risk management
Technology can provide a competitive advantage in banking. How it is applied by Tier 1 and Tier 2 institutions, to the benefit for their risk management systems, is discussed.
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Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
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