Technical papers/Foreign Exchange
Effective valuation procedures for callable exotics are a thorny problem. Standard methods reveal limitations in pricing many-dimensional and path-dependent products, such as cancellable snowballs. Christian...
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
Bank of Ireland's Isle of Man operation has recently celebrated its 25th anniversary on the island with the launch of the sterling-denominated Silver Anniversary Bond. The product was also made available via the Isle of Man local post offices as the Global...
In this article Andrew Klingler takes a closer look at the residual risk when a load-serving contract is hedged with forwards. The residual risk components are described quantitatively and a formula for the minimum variance hedge is outlined
Il mercato dei derivati creditizi sta crescendo a ritmo molto sostenuto e il Credit Default Swap (CDS) ne e divenuto lo strumento piu diffuso. Il presente articolo e particolarmente rilevante per il trading di CDS e di portafogli obbligazionari. Mascia...
In certain settings it's reasonable to assume that the current futures price embodies the market expectations of the spot price. However, as Gary Dorris, Sean Burrows and Vena Kostroun explain, there are distinct situations when this assumption does not...
Hanjie Chen and John N. Jiang discuss how system-wide load-capacity ratio and system-wide generation forced outages impact day-ahead electricity spot price and show how to incorporate these two key factors in the price modelling
UBS is an active player in the US structured products market. The bank has launched 57 products so far this year, 10 of which were FX-rate linked. Pure USD/JPY-linked products are rare though, and most of UBS's FX-rate products instead link to a basket...
Despite the utility of forward price models in the risk management framework, models of spot prices are used more prevalently. Ted Kury presents a tractable model with time-varying volatility, that allows for temporal changes
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
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