Bank One Adopts Models for OTC Contracts
CHICAGO --Portfolio managers in the New York office of Chicago, Ill.-based Bank One are reducing the model and liquidity risks inherent in evaluating the relative values of secondary securitization transactions by implementing vendor option pricing models that price the over-the-counter (OTC) contracts in a more accurate and timely manner. The portfolio managers utilize the pricing models to spot mispriced derivative instruments on the market, which they buy and then sell in the secondary market
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Markets
Banks mull whether to stick or twist with SDPs
Fewer providers are going all-in on single-dealer platforms, which may lead to consolidation
Market for ‘orphan’ hedges leaves some borrowers stranded
Companies with private credit loans face punitive costs from banks for often imperfect hedges
Green knights? Banks step into struggling carbon credit markets
Clearer global standards and a new exchange may attract dealer entry, but supply and demand challenges remain
Morgan Stanley back on top for US insurer FX forwards trades
Counterparty Radar: Bank added $1.7bn with Mass Mutual in Q4 to overtake Citi as biggest dealer
Euronext microwave link aims to cut HFT advantage in Europe
Exchange plans to level playing field between prop firms and banks in cash equities with cutting edge tech
As dispersion hikes in price, equity traders slice and dice
Banks tout alternative versions of relative value vol strategy, including reverse dispersion
Crédit Agricole hires head of USD swaps and UST trading
John O’Callaghan joins French bank in New York from Garda Capital
Hidden Road ready for rush hour after FCM approval
Prime broker is trading “trillions” of notional with “a few hundred” counterparties in FX and crypto
Most read
- Top 10 operational risks for 2024
- The American way: a stress-test substitute for Basel’s IRRBB?
- Hidden Road ready for rush hour after FCM approval