Dealers query risk management, valuation and default management
This paper introduces a technique for pricing and risk measurement of portfolios containing swaption contracts in the presence of counterparty credit risk, under general market model and volatility ...
Volume 18, Issue 1, 2014
In this white paper, Gordon Russell, Global Head of Risk at Broadridge Investment Management Solutions argues that the chances of survival in this new environment will be greater for funds that implement solutions to efficiently and cost-effectively manage data and risk.
More Swaption articles
We present two new efficient methods for the Monte Carlo computation of the (cross-) Gammas of a Bermudan swaption in the LIBOR market model. One approach is a combination of the finite difference method...
Volume 17, Issue 3, 2014
Market is split on how to report volumes for multi-legged trades
As 2012 drew to a close, UBS became the second bank to settle a Libor interest rate-rigging investigation, for a sum of roughly $1.5 billion. Royal Bank of Scotland (RBS) is expected to follow shortly,...
Cutting edge: Jamshidian decomposition for pricing European energy commodity swaptions
Risk awards 2012
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.