Corporates burned

Cover story


Western bankers suffered mark-to-market losses estimated in the billions of dollars when the euro interest rate curve inverted sharply in June. The problems were related to the gamma profile of digital options associated with structured products they needed to re-hedge. Attention had largely focused on why dealers suffered such swift losses following bearish inflationary comments by European Central Bank governor Jean-Claude Trichet, which sparked concerns of a eurozone interest rate hike.

But th

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: