Valuation
Cutting edge: Electricity contract risk with portfolio effects
The incremental risk of including electricity contracts in a portfolio is computed by George Levy using a Monte Carlo regime-switching approach. The volume and price processes are modelled using empirical distributions and correlation is captured via a…
Reconciliation + regulation = complication
Incoming rules on portfolio reconciliation could encourage many derivatives users to outsource the process. But it’s not a simple short cut, warn Mike Pierides and Alistair Charleton of Pillsbury Winthrop Shaw Pittman
Hedge fund valuation practices under scrutiny
Under pressure from regulators and investors, hedge funds are establishing robust pricing policies for hard-to-value assets.Rubber stamping the manager's pricing model is no longer acceptable
Cutting edge: Correlation functions in the crude oil and natural gas futures markets
Given the importance of the crude oil and natural gas futures markets, the intra-market correlations in these markets play an important role in pricing, hedging and managing the risks of energy portfolios. This paper by Ehud Ronn contributes to the…
SEC says crucial information being withheld from investors in structured notes
In its latest letter, the SEC orders banks to highlight the difference between fair market value and issue price to help investors see what their investment is worth
SEC closes in on sweep guidance for structured notes estimated value disclosure
The SEC will soon send issuers final guidance on structured note valuation disclosure, following a sweep letter sent last April
Northern Trust to shadow BNY Mellon at Bridgewater
Northern Trust appointed to replicate middle- and back-office functions of existing administrator BNY Mellon at $140bn hedge fund
Custody Risk Americas Awards 2012
Custody Risk is pleased to unveil the winners for the Custody Risk Americas Awards 2012
Standard CSA: Industry's solution to novation bottleneck gets nearer
New CSA, new challenge
Calls for consistency over risk-free rate
Rates manoeuvres
Standard CSA: Industry's solution to novation bottleneck gets nearer
New CSA, new challenge
Best third-party valuation provider: Markit
Best third-party valuation provider: Markit
LBHI administrators push for settlement of derivatives claims
Vexed by valuations
Isda working group to draw up new, standardised CSA
Derivatives market set for shake-up as confusion over how to price multi-currency CSA trades drives a push towards a standardised collateral agreement
FASB softening stance in bid for convergence, say analysts
US standard-setter tilting towards IFRS on accounting for financial instruments
No quick fix for fiduciaries on asset valuations
Fiduciary failings
Risk USA: Some relationships remain broken in derivatives market
Two years after the Lehman Brothers collapse, OTC market fundamentals still highly dysfunctional
Best third-party valuation provider: Interactive Data
Best third-party valuation provider: Interactive Data
Sponsored forum: Evaluated pricing, operational frameworks, governance and technology tools
Stepping up to the plate
Technology provider of the year, Asia – Numerix
For its continued expansion in China and South Korea as well as its established business in Japan, Numerix is the Structured Products Technology Provider of the Year for Asia
Sponsored Q&A: Valuation and transparency – Facing the challenges of risk and transparency
Why organisations need better risk management and transparency to adapt to the changing marketplace
Sparring over global valuation
Dealers have typically used a variety of pricing models that are specific to certain asset classes and instruments. But is it possible for banks to build global models that can be used to price instruments across asset classes? Matt Cameron reports
AIFM texts adopted by EU parliament and council
Hedge fund managers based outside the European Union (EU) may have to comply with the alternative investment fund managers (AIFM) directive in order to market products to EU member states, under proposals approved last night (May 17).
Sponsored feature: BNY Mellon – focusing clients on their core activities
Never has the need for efficient management around over-the-counter derivatives business been more crucial, or such a focus, as it is today. BNY Mellon discusses how, with its collateral management services, it has helped clients achieve greater…