Shrinking of huge portfolio led to predictions of vol jump that – so far – has not appeared
EC urged to extend CCP safe harbour so listed derivatives don’t switch to OTC
Rivals say French dealer grew business too quickly – with leveraged version of Korean index one source of pain
CLO equity cannot be directly hedged, so people are buying approximations and hoping for the best
Split into UK and EU arms will reduce netting benefits and capital flexibility
Basis could appear when benchmark dies, with swaps, bonds and loans embracing different fallbacks
Sovereign debt agency entices 18 banks into hedging programme, locking in historic low rates on bailout loans
This paper analyzes the efficiency of hedging strategies for stock options in the presence of jump clustering.
Surging volume and rising leverage expose issuers to gap risk on hedges
Floored short funding legs and long vega worked in latest US selloff, dealers claim
Agency lacks the resources to monitor limits, say Berkovitz and Quintenz
In this paper, the authors introduce a new interest rate risk measure that is a product of two factors: one related to the distance between assets and liabilities in the Lp-space of financial instruments, and the other linked to the performance of the…
With financial reporting in a state of flux amid the introduction of several new accounting standards, many corporates may feel overburdened by the need to ensure accounting compliance to take full advantage of IFRS 9 from the point of adoption. Robert…
Amid widespread expectation that Libor will soon be discontinued, questions are being asked around whether the transitioning towards risk-free rates will prove too onerous to achieve. Christopher Dias, principal, advisory, at KPMG, explores whether the…
Schooling-Latter backs plan to build curve from swaps and futures; others have doubts
The impending move from interbank offered rates to alternate reference rates will require important changes to many valuation and risk management processes and infrastructure. EY Financial Services’ Shankar Mukherjee, Michael Sheptin and John Boyle…
This paper proposes temperature-based risk management using hybrid financial instruments built on weather derivatives.
Cost-conscious institutional investors are embracing exchange-traded funds (ETFs) to lower transaction fees and achieve higher returns. Hong Kong Exchanges and Clearing (HKEX) explores the theme of yield‑chasing among insurers in Asia’s expanding ETF…
In this paper, the authors consider wind power utilization in thirty-one different locations in Germany.
The largest SOFR swap trades to date were executed on August 13
Despite new reserve requirement, dealers say ‘maturity’ in risk management is here to stay
Gearing ratio down 220 basis points year to year
Foreign exchange risk added €366 million in capital requirements in 2017