Derivatives pricing
ROE hurdles cause pricing impasse
In the Basel III world, traders know their business must deliver a target return on equity, or risk being shut down – but working out the capital cost, or benefit, of a trade at inception is so difficult that banks only have approximations to guide them…
Time for a timer
Time for a timer
Stuck with collateral
Stuck with collateral
The CCP price: users fear modelling mishaps
The CCP price
The downgrade trigger trap
Trigger trap
Introducing the XVA desk - a treasurer’s nightmare
Grand centralisation
RVA proving a struggle for derivatives counterparties
In this video discussion, Duncan Wood, editor of Risk, talks to Nick Sawyer, Risk’s editor-in-chief, about attempts to price in a replacement valuation adjustment on derivatives trades
Reconciliation + regulation = complication
Incoming rules on portfolio reconciliation could encourage many derivatives users to outsource the process. But it’s not a simple short cut, warn Mike Pierides and Alistair Charleton of Pillsbury Winthrop Shaw Pittman
Applied risk management series: OTC commodity swaps valuation, hedging and trading
OTC commodity swaps valuation, hedging and trading
Sponsored video – OIS discounting for derivatives
Calypso’s David Kelly talks about some of the challenges posed by the OIS discounting of derivatives transactions
The FVA debate continues: Hull and White respond to their critics
The FVA debate continues
Quadratic Gaussian inflation
Quadratic Gaussian inflation
In defence of FVA – a response to Hull and White
In defence of FVA
Cutting Edge introduction: Computation, computation, computation
Computation, computation, computation
Putting the fun in funding valuation adjustment
The fun of FVA
Technology: Cloud on the horizon?
Cloud on the horizon?
Risk 25: No more heroes in quantitative finance?
Scientific theories are supposed to be smooth processes, with progress building on progress. But sometimes a theory gets such a shock that it needs to be completely rethought – and quantitative finance is in the middle of such an upheaval
Quanto adjustments in the presence of stochastic volatility
It is well known that the quanto adjustment in the drift of the underlying has a significant impact on the prices of quanto options. Alexander Giese points out that an additional quanto adjustment in the underlying’s volatility needs to be considered in…
SEC calls for greater pricing transparency for structured products
The US regulator's latest letter on structured products adds a new twist to the debate, calling for pricing disclosure
Sponsored statement: Goldman Sachs
Wrong-way CVA done right
Dealers call for revised language on break clause close-outs
Current methodology to calculate a close-out value following the exercise of a break clause results in inaccuracies, claim dealers
Need for speed: banks explore FPGAs for portfolio modelling
The gate array way
Risk management technology product of the year: Quantifi
Risk awards 2012