Julius Baer equity quant revels in solving problems for the trading desk
Concentration, leverage and correlations may affect a collateralised equity swap portfolio
Mini-futures need to be priced and hedged taking sudden jumps into account
Taiwanese banks review viability of products offering options on long-dated rates
This paper investigates wrong-way risk effects on the pricing of counterparty credit risk for interest rate instruments.
Researchers advise including correlations both with rate level and volatility in CVA calculations
Surging volume and rising leverage expose issuers to gap risk on hedges
Wujiang Lou introduces a reserve capital approach to the hedging error in the BSM model
Adjusting exponential Lévy models toward the simultaneous calibration of market prices for crash cliquets
The authors propose so-called tail thinning strategies that may be employed to better connect the calibrated models to the crash cliquets prices.
Market-making desks struggling to recycle some client flows ahead of referendum
Capital-at-risk products with European-style barriers inherently more vulnerable in a downturn
Renewed interest in gap risk trades might resurrect the defunct trading channel previously used by structured products issuers as a means to recycle unwanted gap risk, say dealers.
Credit default swaps (CDSs) referenced to financial services and telecommunications firms were the most active in the global credit default swap market in January, according to New York-based interdealer broker GFI.
The cost of implementing Basel II could put banks at a competitive disadvantage compared with non-banks, and spur them to ‘de-bank’ to avoid this regulatory burden. Harry Stordel and Andrew Cross say regulators must look at the provisions from a cost…