Structured Products talks to Jaime Uribe and Jorge Masalles about the role that Commerzbank has played in the creation and development of the structured products market in the 20 years it has been present....
More Valuation articles
Failures observed in valuation governance, documentation and models
In this paper, Magnus Wobben, Tilman Huhne, Yuri Ivanov and Sebastian Hanneken examine the impact of market incompleteness on the valuation of gas storage contracts. In contrast to prior research, their proposed valuation framework accounts for the contract...
In a bid to stay one step ahead of the regulators, a consortium of major German banks has volunteered to boost disclosure around the pricing and payout probabilities of their structured products
The incremental risk of including electricity contracts in a portfolio is computed by George Levy using a Monte Carlo regime-switching approach. The volume and price processes are modelled using empirical distributions and correlation is captured via...
Given the importance of the crude oil and natural gas futures markets, the intra-market correlations in these markets play an important role in pricing, hedging and managing the risks of energy portfolios. This paper by Ehud Ronn contributes to the...
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.
Topics of interest
Hong Kong, 1st - 31st Dec 2014
UK, 18th Mar 2015
Singapore, 22nd - 23rd Jul 2014
Australia, 12th - 13th Aug 2014
Australia, 14th Aug 2014