Risk magazine - May 2020

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Managing a derivatives portfolio through turbulent markets

Steering a portfolio of non-linear derivatives, such as options and more exotic products, is challenging at the best of times. Market risks change as markets move and time passes, risks offset in complex ways and proxy hedging is common. In this feature,…

Uncharted waters

How pension plans can better equip themselves for a period of economic upheaval. By Matthew Seymour, RiskFirst, a Moody’s Analytics Company

The SABR forward smile

Thomas Roos presents the expressions for the implied volatilities of European and forward starting options

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