The index business used to be very straightforward and dominated by a relatively small number of third-party providers. Those well-known index creators provided benchmark indices, and some taste of exotica,...
Morgan Stanley quant tells Risk's annual European quantitative finance event that modelling assumptions should be considered in light of calibration needs - even if this leads to discrepancies
More Volatility articles
Delegates at FX Invest conference in Dubai discuss Japanese intervention, the value of emerging market currencies and their outlook on volatility
For most investors and advisers, structured products are about risk control, which explains the appeal of capital-protected notes and super-tracker products. Reverse convertibles, by contrast, are an aggressive, high-yield product that includes significant...
Insurers' heads are in the sand regarding the impact of current market turmoil on their Solvency II-consistent balance sheets, says Tom Wilson
Regulatory risk and political meddling also big concerns, says Norton Rose research
Risk sentiment appeared to make a comeback in forex markets yesterday, as options volatility fell from record highs and the euro rallied in response to the deal announced after the Euro Summit in Brussels
The collapse of equity prices since April in some large structured products markets such as South Korea has left investors facing substantial mark-to-market losses, and the prospect of being cash-locked for several years. But risk appetite remains robust...
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.
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