Price discovery

PRAs under attack amid market manipulation investigations

Price reporting agencies (PRAs) are facing intense scrutiny from regulators, amid renewed allegations that their widely used price indexes are being manipulated by unscrupulous energy traders. Will the PRAs be forced to change their ways? Alexander…

Exclusive Credit Suisse video: energy price outlooks

Crude oil prices will stay range-bound over the next three years, due to substantial Organization of the Petroleum Exporting Countries (OPEC) spare capacity, growing global demand and significant financial flows, says Credit Suisse’s head of global…

Risk institutional investor rankings 2010

The resurgence of market volatility and growing regulatory uncertainty have made the past 12 months challenging for investors. In this difficult environment, respondents to Risk’s institutional investor survey voted JP Morgan the top provider of…

Confusion over CVA

Dealers are becoming more disciplined in pricing credit – a lesson learned the hard way after the collapse of Lehman Brothers. However, banks are taking a variety of approaches, and some participants believe certain firms are habitually underpricing…

The inflation pricing conundrum

Fear of a spike in consumer prices has created greater demand for inflation protection from a variety of participants. This has increased the need for inflation pricing and analytics tools – but it is not as simple as tweaking existing models used for…

Towards a global valuation model

Banks use a variety of pricing models across business lines, creating discrepancies in the way various financial instruments are priced. But developments in high-throughput computing could lead to the possibility of a global valuation model, argue…

The price is wrong

As the basis between Libor and overnight index swap rates ballooned during the credit crisis, banks were forced to reassess methods for pricing collateralised and uncollateralised derivatives trades. The result is a move towards a new market standard in…

Less complexity for pricing analytics

A number of software suppliers sprang up in the early part of the decade offering pricing and analytics software for ever more complex derivatives structures. In the new age of less complexity, how are these firms adapting? By Clive Davidson

Parameter estimation with k-means clustering

Ever since the pioneering work of Cox, Ross & Rubinstein (1979), tree models have been popular as an asset pricing method. However, statistical estimation of the parameters of tree models has been less studied. In this article, Kiseop Lee and Mingxin Xu…

Truth and responsibility

The meltdown in subprime collateralised debt obligations will affect financial markets for years. One likely result will be a renewed market willingness to reward sound credit underwriting - and therein lies a valuable business opportunity, argues David…

Gamma process dynamic modelling of credit

The existing generation of credit derivatives models is unsatisfactory because they generally contain arbitrage, cannot describe the dynamics of the process, and are hard to extend beyond vanilla products. Martin Baxter has created a new tractable family…

Gamma process dynamic modelling of credit

The existing generation of credit derivatives models is unsatisfactory because they generally contain arbitrage, cannot describe the dynamics of the process, and are hard to extend beyond vanilla products. Martin Baxter has created a new tractable family…

The real value of stock

Collars involve the payment of a variable amount of stock, depending on an average stock price. In this article, Anthony Pavlovich uses the Black-Scholes framework to value these exotic derivatives and explore issues with hedging, as well as providing an…