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UBS reveals $19 billion more subprime losses
UBS will take $19 billion in writedowns in the first quarter of this year on exposure to the US property market, the Zurich bank announced this morning.
The equity volatility-credit link
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Reversal of fortunes
Equity-linked notes
Riding the waves – how to achieve low correlation in volatile equity markets
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SG moves on from Kerviel
Société Générale was sent reeling after revelations of a EUR4.9 billion rogue trading loss in January. Glaring weaknesses in the control processes were identified in an internal report, and the bank has started to take steps to address the issues. Nick…
Sticky-strike and sticky-delta Greeks – casualties of the subprime crisis?
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Citi appoints Dial to head consumer banking
As part of its ongoing corporate restructuring, Citi has appointed Teresa Dial as the chief executive officer of consumer banking in North America. Reporting directly to Vikram Pandit, the group’s chief executive officer, she will also assume the title…
Edsparr to join Citadel
Chicago-based hedge fund Citadel has hired JP Morgan's head of rates, Patrik Edsparr. He will join Citadel as the chief executive of Europe and also lead the firm’s global fixed income business, including securitised products.
Call selling gains popularity
Fears of recession and increased volatility have led to the return of strategic overwriting strategies – the selling of call options to gain extra yield.
Yen rise triggers PRDC hedging
The yen hit its highest level against the dollar since August 1995 on March 17, spurring banks to hedge exposures to power-reverse dual currency notes (PRDCs) and other similar structured products.
JP Morgan CDS exposure could top $10 trillion
JP Morgan’s proposed acquisition of Bear Stearns could push the bank’s already formidable footprint in the credit default swaps (CDS) market through the $10 trillion notional barrier, raising questions over the prudence of such large concentrations…
Vix option pricing in a jump-diffusion model
Artur Sepp discusses Vix futures and options and shows that their market prices exhibit positive volatility skew. To better model the market behaviour of the S&P 500 index and its associated volatility skew, he introduces the stochastic dynamics of the…
Information derivatives
Andrei Soklakov considers the problem of creating derivatives to provide tailored exposure to volatility risk. Information theory leads us to a whole class of such products. This class of 'information derivatives' includes the standard volatility…
Getting off track
Off-balance-sheet vehicles
Driven to distraction
Asset-backed securities
Don't blame CPM
Credit portfolio management