Kharen Musaelian, Santhanam Nagarajan and Dario Villani show how to build robust risk metrics for bond returns
Weak emerging markets and commodities downturn are also posing a challenge
A joint-measure model combining Q-measure and P-measure
Prediction of arbitrage-free option prices that outperform existing models
Derivatives pricing and expected exposure models must be backtested as a basic regulatory requirement. But what does this mean exactly, and how can it be used to reserve against model risk? Lee Jackson introduces a general backtesting framework for…
By: Jorge A Chan-Lau
By: Jorge A Chan-Lau
Borrowing the stake for a bet is as old as the hills – and so is losing it. But how much debt is too much for a given position? A group of quants believe they know. Laurie Carver introduces this month’s technical articles
The origins of CVA
Valuation of spread commodity structures in co-integrated futures markets
Playing the reverse swing
Stoxx has launched an index that provides investors with enhanced exposure to infrastructure, the alternative asset class that has increased in popularity among investors with its stable returns in the medium to long term
FSB warns of counterparty risk due to rapid growth of synthetic ETF market; also expresses concern about on-demand liquidity in stressed conditions, particularly linked with vertically integrated providers.
Capturing credit correlation between counterparty and underlying
Derivatives exchanges report a spike in trade volume on the back of growth in Asia-Pacific and Latin America, and strength in the commodities sector.
Transition Management Forum Asia 2011: Asset owners warned that fixed income transitions require different skill sets
Fixed-income investments are becoming increasingly popular in Asia, but less transparency in secondary fixed-income market trading compared with traditional equities means institutional investors need to pay particular attention to the ability of service…
DBS to debut CNH structured notes in Singapore; close-out settlement backstop in place to deal with China policy u-turn
DBS is set to become the first financial institution to offer renminbi structured notes and unit trust to private banking clients in Singapore on February 28. The bank has also drawn up contingency plans to address the policy risk of Beijing changing its…
Chinese corporates will now have access to onshore and offshore hedging markets
By: Damiano Brigo, King’s College London; Andrea Pallavicini, Banca Leonardo; Roberto Torresetti, Quaestio Capital Management
Five largest US-based dealers hold 37% of total notional, trade association says
By: Sergio Scandizzo
The world is watching nervously as sovereign debt is rocked by fiscal and economic crises in the eurozone.