Technical papers/Derivatives
LPI swaps with a smile
Inflation models tend to be poor at capturing the high sensitivity of Limited Price Index (LPI) swap payoffs to year-on-year smiles and correlations, and consequently miss market quotes. Yann Ticot and...
The value of early termination clauses in derivatives depends crucially on the type of close-out value used and on the counterparty risk, and embeds optionality in even the most vanilla swap contracts....
Casual assumptions can be seductive – but wrong. An examination of what is sometimes taken for granted can yield surprising results, as a new article on collateral currency shows. Laurie Carver introduces...
Don't get left behind
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.
More Technical papers/Derivatives articles
Collateral convexity complexity
The crisis abolished the risk-free rate, and brought the role of credit support annexes to the fore in derivatives pricing. Paul McCloud develops the general pricing framework that allows the convexity effects to be captured
LPI swaps with a smile
Inflation models tend to be poor at capturing the high sensitivity of Limited Price Index (LPI) swap payoffs to year-on-year smiles and correlations, and consequently miss market quotes. Yann Ticot and Xavier Charvet propose a simple framework for pricing...
Cutting Edge introduction: CVA for CDSs
Counterparty risk is generally thought of at a portfolio level, but understanding how a particular payout interacts with credit and debit valuation adjustments could help banks make business decisions. Laurie Carver introduces this month’s technical...
CDSs, CVA and DVA – a structural approach
Counterparty risk is difficult to include systematically in credit default swap pricing. Reviving Merton’s structural approach – and generalising to higher dimensions – makes it tractable. By Alex Lipton and Ioana Savescu
Breaking break clauses
The value of early termination clauses in derivatives depends crucially on the type of close-out value used and on the counterparty risk, and embeds optionality in even the most vanilla swap contracts. In the case of the so-called risk-free close-out,...
Rational shapes of local volatility
The asymptotic behaviour of local volatility surfaces for low and high strikes – the so-called wings – is important in option pricing and risk management. Stefano De Marco, Peter Friz and Stefan Gerhold show certain models allow for the derivation...
Cutting Edge introduction: SABR rattling
The classic approach to the benchmark interest rate options model leads to nonsensical negative probabilities at low strikes – but a new approach promises to fix the puzzle, and allow the pricing of negative-strike options. Laurie Carver introduces...
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.
Related conferences
-
Risk OTC Derivatives Clearing Summit
USA, 5th Jun 2013
-
Quant Congress Europe
UK, 12th Jun 2013
-
Risk and Return Brasil - Portuguese
Brazil, 12th Jun 2013
-
Risk & Return Brazil - English
Brazil, 12th Jun 2013
-
What’s next for fixed-income ETFs and structured products?
UK, 3rd Jul 2013
Related training
-
Nexus-Risk Training
Canada, 21st - 16th Oct 2013
-
Active Risk Management in the Treasury
UK, 5th - 6th Jun 2013
-
Active Risk Management in the Treasury
UK, 5th - 6th Jun 2013
-
Market Data, Reference Data & Technology Training
Canada, 10th - 14th Jun 2013
-
Managing Risks in Foreign Exchange
USA, 11th - 12th Jun 2013
Updating your subscription status 
Risk IPad Apps
Email alerts
Weekly poll
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.
- Global securities enforcement activity stepping up to meet new market challenges
- Lender market advisory: swap guarantees – keepwells and excluded obligations
- M&A representations and warranties insurance: what every buyer and seller needs to know
- Green REITs, MLPs and Up-Cs
- How important is collaborative technology in managing risk?
Related Jobs
