Technical paper
Using options theory for commodity spreads
Market risk for a real option asset can be effectively managed using a spread option model. Raymond Cheng and Walt Tyrrell demonstrate the enhanced risk-adjusted performance of optional refinery capacity with a historical back test
A fair-value enterprise
Cutting Edge: Liability management
ABN Amro
Quant Analysis
HSBC Bank International
Quant Analysis
Permanent TSB
Quant Analysis
Caja Espana
Quant Analysis
Iterating cancellable snowballs and related exotics
Cutting edge: Exotic options
Calibración - Monte Carlo ponderado
Cutting Edge
An indirect view from the saddle
The saddlepoint method has become established as a tool for portfolio analysis. In this article, Richard Martin and Roland Ordovas review the main concepts and show that there are two essentially distinct ways of applying it to conditional independence…
Dynamic frailties and credit portfolio modelling
Martin Delloye, Jean-David Fermanian and Mohammed Sbai estimate and discuss a reduced-form credit portfolio model in a proportional hazard framework. They propose an innovative method of generating flexible amounts of dependence between underlying…
Dealing with seller's risk
The risk of trade receivables securitisations comes from both the pool of assets and the seller of the assets. Vivien Brunel develops a model for securitisation exposures that deals with both risks, and analyses in detail the interplay between debtors'…
Delta hedging the load-serving deal
In this article Andrew Klingler takes a closer look at the residual risk when a load-serving contract is hedged with forwards. The residual risk components are described quantitatively and a formula for the minimum variance hedge is outlined
The price of mortality
Cutting Edge: Mortality Assumptions
BMW Personal Finance
BMW Personal Finance recently entered the UK retail market with this balance bond, in partnership with Newcastle Building Society. While this is the first such UK offering for the car manufacturer's financial division, a structured certificate has also…