Put options
ETF options: the market’s latest credit hedge
Investors look to derivatives on fixed income exchange-traded funds to manage credit risk exposure
Bonds fall from favour as shock absorbers for equity losses
Ultra-low rates force investors to rethink role of fixed income as diversifier
Berkshire Hathaway’s put option liabilities climb
Fair value liability climbed to $1.6 billion at end-June
Asia collar financing surges on back of Covid-19 volatility
Options-based structures gain ground on margin loans – and dealers say it may be a structural shift
Shale firms pump hedge books for liquidity lifeline
Lucrative hedge portfolios offer promise of cash but unlocking residual value won’t be simple
Sliding HSCEI threatens fresh autocallable losses
Banks nervy as index approaches key options barrier
Modelling the financial risks of wind generation with Weibull
The manner in which wind generation can affect the half-hourly APX price is discussed
Risk manager of the year (sovereign): Mexico’s Ministry of Finance and Public Credit
Oil hedging stabilises Mexican state finances amid price crash
UK election fog prompts surge of FTSE 100 puts
Puts on UK's leading index rose 30% last week, with put/call ratio nearing historical high
Cutting edge introduction: Funding holes in Black-Scholes
HSBC quant builds funding costs and haircuts into Black-Scholes option pricing formula
How autocallable structured products came to dominate the retail market
Products still seen as easier sell than issuer-callables
Linn Energy SEC inquiry sparks hedge accounting debate
Linn Energy, once fêted as a leader in risk management, is under scrutiny by US regulators for its derivatives accounting practices – something that is casting a shadow over other master limited partnerships in the upstream oil and gas business, finds…
A new framework for assessing product complexity
A model of complexity
Experts question shift in Mexico oil hedging strategy
Use of put spreads in oil hedging programme leaves Mexico dangerously exposed to low oil prices if global economy sinks
Luxury goods stocks continue to sparkle in Switzerland
Deutsche Bank says the luxury goods sector is especially promising in the current financial climate, while Bank Vontobel in Switzerland has launched its fifth structured product based on a basket of luxury and fashion goods
Risk Japan: Bank of Japan concerned about wrong-way risk on banks’ cross-holdings
Helping banks by purchasing stock will create moral hazard, says Bank of Japan director-general
Trade of the month: reverse convertibles
Trade of the month: reverse convertibles
Raffeisen Centrobank offers low-barrier reverse convertible
Low barrier to entry
Mexico driving put skew in Brent, say brokers
The put skew in Brent crude oil is close to its yearly high. This is being driven by the hedging programme of Mexico, as well as more general risk aversion on macroeconomic worries, according to brokers
Safety and an early payout
Safety and an early payout
Diggle to re-launch Asia long volatility fund under new vehicle; inflation hedging another target
Stephen Diggle, co-founder of defunct Singapore hedge fund Artradis, which closed after incurring losses of $700 million, will re-launch an Asian long volatility fund under his new vehicle Vulpes Investment Management in May.
Artradis collapse a failure of judgement, not risk management, says co-founder Diggle
Artradis was one of Asia’s most successful hedge funds until it hit difficulties in 2009 and 2010 that resulted in losses of $700 million and culminated in its closure in late February. But the fund’s co-founder says error of judgement and a lack of…