Technical papers/Foreign Exchange
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...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Technical papers/Foreign Exchange articles
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...
As spreads to be earned on other fixed income products have declined, mortgages have become more attractive but investors should know what risks are hedged and why. Mark Raaberg considers the main risk dynamics of hedging mortgages and why duration is...
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 paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
UK, 12th Feb 2014
UK, 13th Feb 2014
UK, 19th - 20th Feb 2014
Germany, 25th Feb 2014
UK, 25th - 26th Feb 2014
Updating your subscription status
Risk iPad and iPhone Apps