Feature
Valid Assumptions Required: backtesting
Given the large number of assumptions made in calculating a value-at-risk, how can we have confidence in the quality of the resulting calculation? Brett Humphreys looks at using backtesting to evaluate quality.
Where to next for gas prices?
US natural gas markets can be tricky to predict, as recent high-profile losses in these markets have shown. However, there are some aspects of price behaviour that are more uniform than might be imagined, writes David Linton of Updata
Implied trees: Valuing exotic options
In this next installment of the Masterclass series, Jim Clark, Les Clewlow and Chris Strickland show how to value exotic options, using a calibrated local volatility surface consistent with market prices
Crunching the numbers
Advances in analytical tools, coupled with a proposed December Ferc ruling requiring US gas providers to publish gas flow data, could herald a revolution in US natural gas trading. Algorithmic trading techniques, similar to the kinds used in the equity…
Dow Jones Indexes licensed to Commerz to underlie ETFs
Dow Jones Indexes and Stoxx have licensed a range of indexes to Commerzbank, to underlie 22 exchange-traded funds (ETFs) listed on the Deutsche Boerse. The licensed indexes comprise the Dow Jones Euro Stoxx 50, Dow Jones Euro Stoxx Select Dividend 30,…
ETF AUM to surpass US$1 trillion in 2009, iShares
Global assets under management for exchange-traded funds (ETFs) will surpass US$1 trillion in 2009, according to iShares, which also expects European ETF AUM to rise above US$200 billion.
Financial recovery structured fund offered to Malaysian investors
CMS Trust Management in Malaysia has launched its first structured fund, aimed to offer investors exposure to bottomed-out financial stocks. The fund has been launched in partnership with OCBC Bank, and will only be available at the bank’s 29 branches.
Sterling Waterford launches Carbon Credit note in South Africa
Sterling Waterford Securities has listed its second Carbon Credit Note on the Johannesburg Stock Exchange. The note offers investors exposure to the price of Certified Emission Reductions which are part of the Kyoto Protocol Clean Development Mechanism.
Quantum leaps into re-brand after Dawnay Day buy-out
Dawnay Day Quantum has re-branded itself Quantum Asset Management following the management buyout (MBO) that took place on August 27. The board and employees of the UK distributor now own 100% of the business’s equity after purchasing the stake…
BGI appoints Fuhr global head of ETF Research and Implementation
Barclays Global Investors (BGI) has appointed Deborah Fuhr as global head of exchange-traded funds (ETF) Research and Implementation Strategy, in a newly created role effective from September 15. Fuhr will also occupy the position of a managing director,…
Credit Suisse adds four to private banking in Australia
Credit Suisse has enhanced its private banking division in Australia with the addition of four new bankers: Andrew Bird has joined as director, senior relationship manager; Lucinda Bloom as vice-president, structured derivatives; Paul Aliprandi as vice…
Better Sepa than sorry
Editor's blog
UBS appoints Kengeter global head of FICC
Carsten Kengeter will join UBS in early 2009 as global head of fixed income, currencies and commodities (FICC), reporting to Jerker Johansson, Chairman and CEO of UBS Investment Bank. Johansson has been the interim head of the group after André Estevez…
NDFA delivers tax benefits with latest income product
NDFA has released its latest Regular Fixed Income Plan September 08, offering favourable tax treatment on non-UK dividends.
Olympia nabs Goldman Sachs French sales head
Olympia Capital Management has appointed Laurent Dupeyron in the new role of head of sales, marketing and product development. Dupeyron joins the firm from Goldman Sachs, where he was a managing director and had been in charge of sales and marketing of…
Credit Suisse boosts Central Europe sales
Christian Porath has been appointed co-head of Securities Structured Derivatives Sales in Central Europe at Credit Suisse, with a focus on developing coverage of the banking sector in the region, including Germany, Austria, Poland, Hungary, the Czech…
Merrill raises the Mast for cross asset class exposure
Merrill Lynch has created Mast, a Multi Asset Strategy index based on investments across fixed income, currencies, commodities and equities. The asset classes are respectively represented in the index by Merrill’s 10-year US Treasury Futures Index (total…
Slowing inflation weakens structured note demand, Barclays Capital
Falls in the price of oil have weakened demand for inflation-linked structured notes, says Benoit Chiqrui, director of inflation trading at Barclays Capital in London. The recent US$40 fall in prices has caused inflation worries to fade along with demand…
Keydata delivers latest Dynamic Growth plan
Keydata Investment Services has launched the latest tranche of its Dynamic Growth Plan Plus issue 11, a six-year plan linked to the FTSE 100 index offering two investment options for the first time. The options are designed to address the needs of…
Barclays releases ETN linked to Asian Currency Index
Barclays Capital has announced the listing of its Global Emerging Market Strategy (GEMS) Asia 8 exchange-traded note (ETN) on the New York Stock Exchange (NYSE) Arca platform. The ETN has a 30-year maturity and is linked to the GEMS Asia 8 index, which…
BNP Paribas launches autocallable fund in France
BNP Paribas has launched a new collective investment fund which has the potential to kick out after two years with a 14% coupon. The capital-guaranteed fund Flamenco FCP (fonds commun de placement) is linked to the performance of the DJ Eurostoxx 50. At…
Van Eck unveils first Global Hard Assets ETF
Asset manager Van Eck Global, based in New York, has launched its Market Vectors-RVE Hard Asset Producers exchange-traded fund (ETF), the first of its kind, on the American Stock Exchange (Amex).
Bellet for Piel at the European Derivatives Association
Reinhard Bellet has been elected the new president of the European Derivatives Association (EDA), replacing Siegfried Piel who leaves the post after parting company with Sal Oppenheim.
Barcap adds Mallegol to equity derivatives flow
Yannick Mallegol has joined Barclays Capital as managing director, head of equity derivatives flow sales. Mallegol was formerly at Société Générale, where he was head of equity derivatives flow sales. Mallegol will report to Guglielmo Sartori di…