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HSBC sacks US head

HSBC has replaced Bobby Mehta, its chief executive in North America, after it announced lending arrears from the US mortgage business would cost the bank more than $10.5 billion, 20% higher than analysts’ forecasts.

Canabarro returns to Stanley

Eduardo Canabarro will return to Morgan Stanley on March 5 after a three-year stint at Lehman Brothers, where he was global head of quantitative risk management. In that role, he oversaw the firm’s market, credit and operational risk analytics, as well…

Variance swaps under no conditions

Conditional variance swaps are claims on realised variance that is accumulated when the underlying asset price stays within a certain range. Being highly sensitive to movements in both asset price and its variance, they require a very reliable model for…

Valuing inflation futures contracts

In recent years, futures contracts written on inflation (specifically, on the ratio of the consumer price index (CPI) level at two different times) have been introduced. Working within the Jarrow & Yildirim (2003) model, John Crosby derives formulas for…

The intrinsic currency valuation framework

Introducing the concept of the intrinsic value of a currency, Paul Doust shows how to use foreign exchange market volatilities to calculate the volatilities of intrinsic currency values and the correlations between them

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