Cross-gamma losses estimated at more than $25m for each dealer
Official post-mortem considers claims that options hedging amplified October 15 move
Fast gammas for Bermudan swaptions
Wrong-way CVA done right
Power-reverse dual-currency notes proved a bonanza for dealers when markets were tame, but risk-managing the product has become a drain on resources and cash in recent years. As a result, some firms have decided to exit the market. Mark Pengelly…
Victor Dvortsov and Ken Dragoon present an analytical method for including market and operational risks when estimating utility portfolio value-at-risk.