Technical paper/Foreign exchange
Fintro
Quant Analysis
Fortis Bank
Quant Analysis
The expectation game
Cutting Edge: Life Insurance
Merrill Lynch
Quant Analysis
Fibanc
Quant Analysis
BCC San Giorgio e Meduno
Quant Analysis
Abbey
Quant Analysis
A matter of principal
Developing term structure models can be tricky, as unknown factors and non-observable variables can affect futures prices. But principal components analysis is useful in tackling these problems. Here, Delphine Lautier uses PCA to pin down price movements…
Police Mutual
Quant analysis
First Trust Bank
Quant analysis
UBS
Quant analysis
ABN Amro
Quant analysis
Pricing risk on longevity bonds
Cutting edge: Longevity bonds
DrKW
Quant analysis
Cattolica Assicurazioni
Quant analysis
KBC Group
Quant analysis
HSH Nordbank
Quant analysis
A Merton approach to transfer risk
Transfer risk is the risk that debtors in a country are unable to ensure timely payments of foreign currency debt service due to transfer or exchange restrictions, or a general lack of foreign currency. Although this risk is not extensively addressed in…
Understanding Sam
The Samuelson Effect – backwardation in the term structure of forward volatility – can lead to valuation inaccuracies. In capturing the Samuelson Effect in energy derivatives valuation, analysts have tried both historical approaches and those that rely…
Caja de Burgos
Quant analysis
Deutsche Bank
Quant analysis
HVB
Quant analysis
Zurich Financial Services
Quant analysis
Bond execution models
Quantitative trading l Cutting edge