Optimisation
Optimal execution with a price limiter
Balancing the price uncertainty and price impact of large orders is an important issue for many market participants. While classical approaches lead to trading algorithms that are invariably price-path insensitive, in this article, Sebastian Jaimungal…
ETRM Software House of the Year: Allegro Development
A shake up at the top is marking a new direction for the company
Options for collateral options
Options for collateral options
Portfolio theory vindicated by crisis, says Markowitz
Nobel prize-winner defends his work on portfolio theory, which critics claim has been discredited by the crisis
Optimising and hedging power generation assets
The head of risk at Spanish utility company Endesa speaks to Lianna Brinded about the co-ordination of optimisation and hedging of power generation assets.
End-users adopt more complex hedging tools and methods
End-users’ energy and commodities hedging strategies are growing in sophistication as they adopt more complex products and non-traditional tools, says the head of RWE npower’s optimisation desk
Madoff sentenced to 150 years as investigations into feeder funds continue
Bernard Madoff was sentenced to 150 years in prison in the Manhattan federal court yesterday.
Optimal pays $235 million to Madoff trustee
Optimal Investment Services, the Switzerland-based asset management arm of Banco Santander, has agreed to pay $235 million to the trustee responsible for liquidating Bernard Madoff's investment management firm, Bernard Madoff Investment Securities (BMIS).
Speculation over regulation mounts as Madoff lawsuits rack up
European investment funds are preparing to face tighter regulation in the wake of the Madoff scandal.
Santander offers 1.38 billion euros to Madoff investors
Daily news headlines
Cash and carry
Foreign exchange
Weighted Monte Carlo
Most pricing models assume an asset behaviour and calibrate its parameters to fit the market. Weighted Monte Carlo is able to calibrate the market without making specific assumptions about the asset behaviour. When only vanilla products are considered,…
Optimal allocation to hedge funds
Lionel Martellini and Mathieu Vaissie argue that it is only by taking into account the exact nature and composition of their existing portfolio that institutional investors can maximise the benefits they can expect from investing in hedge funds. To this…
Crossing the frontier
Portfolio risk management
Contributions to credit risk
Optimisation of credit portfolios requires that risk contributions be quantified. However, there has been disagreement over which of three popular tail risk measures should be used. Here, Alexandre Kurth and Dirk Tasche offer a way forward, showing how…
Contributions to credit risk
Optimisation of credit portfolios requires that risk contributions be quantified. However, there has been disagreement over which of three popular tail risk measures should be used. Here, Alexandre Kurth and Dirk Tasche offer a way forward, showing how…
Stress tests and risk capital
For many financial institutions, "stress tests" are an important input into processes that set risk capital allocations. In the current regulatory environment, two distinct model-based approaches for setting regulatory capital requirements include stress…
Value under liquidation
Liquidity