Negative rates causing pricing model rethink
Two RBC quants propose a way to value CSAs with more than two currency posting options
Libor-like consensus methodology creates bad incentives, clients fear
Firm’s treatment of optional commodity inventory sales is appropriate, CEO says
National regulator AIFMD validation checks said to be neither uniform nor consistent
Realistic models not necessarily a prerequisite for successful risk management
Burgard and Kjaer method is extended to include margin valuation adjustment
Quant ideas paper dissects layers of valuation models for physical assets
US bank accused of manipulating client valuation reports to mask profits
Flexible, martingale duality-based method provides reliable valuation
Fund managers need to ensure internal controls are up to the mark
Providers distinguished by Emir and AIFMD reporting and valuation services
Delegating Emir reporting may cause more problems than it solves
Sponsored interview: Commerzbank
Regulator reasserts governance and control requirements ahead of Solvency II
Market prices ignore time-to-liquidation, says David Rowe
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...
Incoming rules on portfolio reconciliation could encourage many derivatives users to outsource the process. But it’s not a simple short cut, warn Mike Pierides and Alistair Charleton of Pillsbury Winthrop Shaw Pittman
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
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 its latest letter, the SEC orders banks to highlight the difference between fair market value and issue price to help investors see what their investment is worth