Autocallables
Korea tightens autocall oversight as local houses take on risk
Regulator sounds warning over $9 billion increase in structured product self-hedging by Korean firms
Natixis's VAR returns to earth after sale of autocallables
Average value-at-risk falls 35% from Q4 2018 high
Autocall concentration weighs on dealers
Hedging headaches force issuers to seek new structured product blockbusters
SG offers won hedged indexes for Korean autocall clients
Local currency benchmarks cut forex hedging cost for clients and boost yields, bank says
Autocall dealers wary of Nikkei volatility surge
Dealers caught in danger zone as losses lurk on upside and downside spikes
Natixis said to offload a third of Korean structured book
BAML and BNP Paribas named as buyers in $2.5 billion notional sale of equity-linked securities
‘Imperfect hedge’ magnified equities slump at BNPP
US index loss, dislocations and weak demand produce worst equity trading results in a decade
Calling out autocallable pricing
Quants show popular autocallable pricing technique has a flaw that has been ignored until now
The interplay between stochastic volatility and correlations in equity autocallables
Study shows issues with pricing autocallables using SLV
Eurostoxx dislocations signal autocall hedging pain
Swings in dividends and volatility reveal year-end stress as European index slump tests “peak vega”
Natixis’s €260m hit blamed on big books and Kospi3 product
Rivals say French dealer grew business too quickly – with leveraged version of Korean index one source of pain
Structured product platforms take off in Asia
Multi-dealer platforms Contineo and FinIQ seek to replicate success in Europe’s fragmented market
Knocking out corridor variance
Amine Ahallal and Olaf Torne add a knock-out barrier to the standard corridor variance swap
Equity vol strategies get defensive
Floored short funding legs and long vega worked in latest US selloff, dealers claim
Korea autocall dealers brace for losses but no 2015 repeat
Traders dampen fears of hedging wipeout despite 20% drop in HSCEI underlying index
Trade war threatens Korea autocall losses
Dealers warn of $240 million in hedging losses if HSCEI index slides further
Asia Risk Interdealer Rankings 2018: The winners
Societe Generale and BGC top the tables
South Korea prepares for EU benchmark equivalence
New regulatory framework aims to allow European firms to continue using local benchmarks
Nervy Korean autocall investors lean on lizards
After volatility surge, buyers give up coupons for better chance of early redemption
European supervisors may step in over Priips confusion
Differences in how issuers disclose product costs harming comparability, observers say
Nikkei sell-off puts Japanese autocall dealers on alert
Risk recycling may backfire if index slump continues
Monte Carlo payoff smoothing for pricing autocallable instruments
This paper develops a Monte Carlo method to price instruments with discontinuous payoffs and non-smooth trigger functions, which allows a stable computation of Greeks via finite differences.
Equity derivatives house of the year: Societe Generale
Risk Awards 2018: From geometric dispersion to fund derivatives, the French bank combines popular products with risk recycling strategies