In the first part of this two-part article, Svetlana Borovkova introduced two indicators for detecting changes between backwardation and contango market states. Here, in the second part, she applies the...
Svetlana Borovkova looks at detecting market transitions between backwardation and contango states using the forward curve. In this first part of a two-part article, she introduces two change indicators,...
Risk would like to invite you to join us on 14 April 2014 at 10am EST / 3pm GMT for our next FREE webinar. Joining the panel discussion will be: Moderator: Duncan Wood, Editor, RISK. Athanassios Diplas, Senior Advisor, ISDA. Barry Hadingham, Head of Derivatives and Counterparty Risk, AVIVA INVESTORS. Neil Murphy, Director, Collateral Product Management, IBM RISK ANALYTICS. Click to register.
More Technical papers/Regulation articles
Yijun Du and Xiaorui Hu present a general framework for applying modern portfolio theory to optimal natural gas procurements. They show that successful natural gas procurement involves determining the optimal allocation between fixed-price and floating-price...
Are there common features among exceptional operational risks beyond their defining characteristics of rarity and severe consequences?
Cashflows from projects and other structured deals can be as complicated as we are willing to allow, but the complexities of Monte Carlo project modelling need not complicate value-at-risk calculation. Here, Andrew Klinger imports least-squares valuation...
Junji Hiwatashi and Hiroshi Ashida of the Bank of Japan outline a practical framework for operational risk management, derived from research and experiences in Japan's financial community.
Giuseppe Castellacci and Michael Siclari of OpenLink introduce a class of exotic options that simultaneously generalises both Asian and basket options. They develop approximate analytic models for real-time pricing of complex instruments that average...
Pooling internal and external data is a central issue to estimating capital charges for operational risk. Here, Nicolas Baud, Antoine Frachot and Thierry Roncalli of Crédit Lyonnais discuss the methodology they have developed.
The park and loan model is useful for gas storages and pipelines. The concept can be applied to many ‘when to sell’-type decisions. Here, Huagang ‘Hugh’ Li considers selling park and loan services as a financial and statistical decision on revenue...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
Topics of interest
Hong Kong, 1st - 31st Dec 2014
Japan, 24th Apr 2014
Japan, 24th Apr 2014
USA, 30th Apr 2014
USA, 8th - 9th May 2014