Analysis
Product performance
Based on the FTSE 100, this month FVC compares the virtues of three products structures common to the UK market that link to the FTSE 100
FVC Custom Indexes
In Europe, the income index is the best performer over the past six years when compared with the accelerated and protected variants. Not so in Japan, where the accelerated index tops the trio of indexes as best performing. In both regions, the protected…
Distressed debt funds fail to attract inflows despite growth in distressed assets
An increase in the amount of distressed assets in the past two years has yet to boost inflows into distressed debt funds.
RMBS defaults still a worry for structured finance investors
Despite talk of economic recovery, structured finance investors in the US and Europe remain concerned about defaults and losses on RMBS deals, according to S&P research.
Towards a global valuation model
Banks use a variety of pricing models across business lines, creating discrepancies in the way various financial instruments are priced. But developments in high-throughput computing could lead to the possibility of a global valuation model, argue…
Capturing fat tails
Financial institutions are more aware of the risks posed by high-impact events since the crisis, but the question is how to encapsulate these in models. Zari Rachev, Boryana Racheva-Iotova and Stoyan Stoyanov discuss three approaches for capturing fat…
Trade of the month: fees, profit and risk in structured products
The success of any structured product issued in the retail market is partly determined by the fee structure, in which fees are generally taken in three ways – first in the commission level paid to the broker or adviser, second in the the fee charged by…
Product performance
Comparing the performance of principal-protected, accelerated growth and reverse convertible products, and analysing the pricing of the Dunbar Bank Zurich Triple Account
FVC Custom Indexes
The US accelerated strategy has consistently outperformed the S&P 500 index in the past six months, while the protected strategy has delivered only modest gains