Interdealer broker TFS Energy has done the first-ever weather derivatives auction in Asia on behalf of a Japanese client looking to diversify its weather exposure, with a notional value of $11.25 million. Offers were solicited for cumulative average temperature futures and calls in Japan for the May-September 2008 period for Tokyo and Osaka.
- People moves: SocGen adds in prime services, Deutsche fills new rates hole, HSBC makes model move, and more
- Credit risk quants are hitting the tech gap
- Princeton tops inaugural Risk.net quant master’s ranking
- Does credit risk need an expected shortfall-style revamp?
- Teach history to avoid mistakes of yesterday’s quants