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CBOT lowers fees for European traders

The Chicago Board of Trade (CBOT), in an early effort to head off competition from Eurex, is to offer cheaper electronic access for European traders, the exchange announced.

US sets trend for high bonuses

Global commercial banks are expected to award bumper bonuses in the next three months, following a pattern set by the US investment banks in December, reports Risknews ' sister publication FX Week .

Fimat launches volatility fund index

Fimat Group, the brokerage arm of SG, has launched the Fimat Volatility Arbitrage Median (FVAM) to represent the performance of various funds following volatility arbitrage strategies, reports Risknews ' sister publication FX Week .

Taiwan launches government bond futures market

Taiwan has launched its government bond futures (GBF) market with the listing of 10-year government bond futures on the Taiwan Futures Exchange (Taifex) and the opening of the Bond Lending Centre of GreTai Securities Market, a non-profit organisation.

Bringing credit portfolio modelling to maturity

Michael Barco shows how to perform mark-to-market credit portfolio modelling by extending the well-known saddle-point technique, introducing spread and recovery rate volatility. He then tests his results on a fictitious portfolio, showing how asset…

Calculating transfer risk using Monte Carlo

Marco van der Burgt constructs a model of emerging market transfer risk based on a country’s foreign exchange reserves that is combined with facility-dependent risk factors that determine counterparty exposure in the event of a moratorium. He then…

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