Hedging
Basel CVA bombshell widens gulf with bank accounting
Dealers face conflicting incentives and capital hike after internal models are blown away
NSFR to hike hedging costs for end-users, industry warns
Costs could increase by 10–15%, House Agriculture Committee hears
How to get maximum value from power plant hedging
Dynamic hedging is becoming more common among plant operators
Liability-side pricing of swaps
Wujiang Lou presents a framework to compute recursive CVA and FVA via Monte Carlo simulation
New hedging tools needed in the Philippines, says SEC
New derivative structures under consideration but caution is key
FVA sceptics lose ground in valuation debate
Market needs to move on from theoretical argument and focus on numbers
Sovereign risk manager of the year: SHCP
Mexico hedged against the oil price collapse while diversifying its debt investor base
Cutting Edge introduction: No more shortfalls?
Academics develop expected shortfall backtest to compare standardised and internal models
Ending Emir hedge exemption conflicts with Mifid II, firms say
EU energy companies warn of inconsistency between two regulatory regimes
UBS case shines light on proprietary index disclosures
US dealers’ custom index operations under heightened scrutiny following SEC enforcement action
CVA with Greeks and AAD
Reghai, Kettani and Messaoud present new technique to calculate CVA using adjoints
SEC probing more proprietary index cost disclosures
US official says regulator is examining "a case or two"
Numerical methods for the quadratic hedging problem in Markov models with jumps
In this paper algorithms are developed using the Hamilton–Jacobi–Bellman approach for parabolic partial integrodifferential equations related to the quadratic hedging strategy in incomplete markets.
Repeat of Asian crisis ‘unlikely’, say Singapore bank chiefs
Policy-makers responding more proactively to risks than in 1997
Illiquidity means some hedges are no longer possible – GE
End-users unable to execute certain trades as dealers retreat, claims swaps counsel
Banks shun internal models in CVA impact study
Accounting exposures win out as banks seek to align capital with front-office practice
E&P firms reluctant to hedge in wake of oil collapse
US shale drillers expected to suffer as hedges expire in the second half of 2015
Hidden price pressures grow in euro swap market
Clients face wider bid/offer spreads, as dealers struggle to find liquid hedges
Internal transfer price optimisation for integrated energy firms
A framework that demonstrates optimal internal pricing will deviate from ‘arm’s length principle'
Illiquidity worries UK insurers in forex hedging switch
Cross-currency swaps could become more expensive as firms' demand increases
EU insurers and structurers clash over Priips cost disclosure
Industries disagree over which of two proposed approaches should be used
EC urged to exempt insurers from central clearing
Need for cash collateral could encourage pro-cyclical investing, industry says
Cutting Edge: Co-simulation of risk factors in power markets
A simple but realistic model to co-simulate the time series of temperature, electricity load and prices is proposed
'Rollercoaster day' in Hong Kong stresses dealers' exotic books
Autocallable knock-in levels under pressure but losses averted