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 ...
This three-part series looks at the various factors that firms across the ecosystem of global FX markets - from the buy-side, the sell-side, and the supporting community of technology vendors and service providers - should consider in order to, not just survive, but to thrive in this dynamic and ever-changing environment.
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
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.