Volatility
Scientific stochastic volatility models for the European energy market...
This paper builds and implements a multifactor stochastic volatility model for the latent (and unobservable) volatility of the baseload and peakload forward contracts at the European Energy Exchange AG,...
This paper assesses the performance of twelve generalized autoregressive conditional heteroskedasticity (GARCH)-type models for modeling the 99% value-at-risk (VaR) for indexes from countries classified...
Vanguard's replacement of an MSCI index with a FTSE index as the underlying for emerging markets exchange-traded fund should remind investors to look carefully at underlying constituents, hears conference...
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How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
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Exchange-traded funds provider of the year
Source Source's assets under management (AUM) have grown by 33% in the year to date, which means the company must be doing something right. One of the fastest-growing exchange-traded product (ETP) providers in Europe, Source stands out by offering innovative...
Index innovation
S&P Dow Jones Indices In June, McGraw-Hill Companies and CME Group announced the formal launch of S&P Dow Jones Indices, the joint venture that brought together S&P Indices and Dow Jones Indexes. Over the past 12 months, both parts of the new company...
Equity derivatives house of the year
Société Générale In a year when most banks shied away from trumpeting innovation, Société Générale (SG) continued its crusade to further tweak the financial technology that forms the basis of the structured products market. The result was an...
Foreign exchange house of the year
BNP Paribas The BNP Paribas foreign exchange structuring team shrugged off corporate uncertainty arising from the European debt crisis this year to produce made-to-measure distributor solutions that showed a flair for complexity and detail. Economic...
Leveraged products see steep declines in Europe
Structured products and exchange-traded products that use leverage see outflows in Europe
Index innovation: Société Générale
Doing business in Asia as a European bank is far from easy. Not only are investors increasingly concerned about counterparty risk, but the credibility of Europe's banking system has been shot at from a multitude of angles over the past few months. In...
An easy-to-hedge covariance swap
Covariance swaps that track the covariance of assets can be difficult to hedge because there is no known static replication formula, unlike the case for variance swaps. However, in the case of swaps measuring the covariance between the absolute returns...
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
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