Technical papers/Foreign Exchange
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Technical papers/Foreign Exchange articles
Consistently fitting vanilla option surfaces when pricing volatility derivatives such as Vix options or interest rate/equity hybrids is an important issue. Yong Ren, Dilip Madan and Michael Qian Qian show how this can be accomplished, using a stochastic...
In this paper the author uses a simple two-step approach to represent the dynamics of strategic asset allocation composition. He shows that this approach significantly reduces risk assessment compared with static optimisation
Banks offering no-cost mortgages have been accused of hiding the real cost of the loan from borrowers. But as Andrew Kalotay and Jinghua Qian explain, lenders can also run into problems if they fail to calculate correctly the prepayment behaviour of these...
Vladimir Piterbarg erläutert die grundsätzlich auf jedes (Diffusions) Modell anwendbare "Markov-Projektionsmethode", mit der in geschlossener Form Approximationen an Preise europäischer Optionen auf verschiedene Basiswerte möglich sind. Hier wird...
How can a business objectively allocate capital to competing projects or business units in a way that takes into account both estimated returns and risks? Rebecca Benson Leiter and Tom Madden develop a method for doing so by modifying the Treynor-Black...
Basilea II postula la integración de coherencias entre los incumplimientos y la severidad de la pßrdida (LGD). Si entre ambos hay una correlación positiva, la utilización de modelos separados para cada uno de ellos da lugar a estimaciones sesgadas...
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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