Valuation
Losing the asset swap lifeline?
A price difference between inflation-linked and nominal bonds last year created a huge opportunity for real-money investors to benefit through asset swaps. Now the opportunity has diminished, how important are asset swap investors in providing inflation…
Towards a global valuation model
Banks use a variety of pricing models across business lines, creating discrepancies in the way various financial instruments are priced. But developments in high-throughput computing could lead to the possibility of a global valuation model, argue…
Valuation & transparency sponsored forum: Derivatives valuation – challenging the process
Valuation of derivatives instruments has become a key focus for regulators and banks since the onset of the financial crisis, leading to greater demand for transparent and independent valuations. A group of industry experts convened in London recently to…
Calculating the liquidity premium
Market dislocation at the end of 2008 prompted calls from many in the insurance industry for the addition of a liquidity premium to the MCEV discount rate. Barrie & Hibbert’s Craig Turnbull and Delme Pritchard examine whether its inclusion is really…
Conflict's end
The second phase of the International Swaps and Derivatives Association's collateral dispute resolution protocol prescribes a market polling mechanism for settling disputes involving illiquid and complex transactions. How will the market poll work and…
Value added
Valuation remains a major focus for banks and regulators. In this Class Notes article, Charles Smithson examines the academic approaches to valuation and applies them to structured credit assets
What's it worth?
The financial crisis has highlighted shortcomings in bank valuation practices for complex securities. With regulators clamouring for the use of independent prices, there could be an opportunity for third-party data providers. But are banks taking the…
Where rocky horror assets go
With injections of government capital seemingly having little effect on restoring confidence in ailing banks, thoughts have once again turned to quarantining distressed assets. Rob Davies examines the options available to policy-makers
Required reading
Over the past year, we have witnessed a unique experiment in what makes financial risk management effective. A succinct supervisory summary of what we have learned should be required reading for all interested parties, argues David Rowe
CEBS reports on bank transparency and illiquid product valuations
Daily news headlines
Valuing CDOs of ABSs
Charles Smithson and Neil Pearson discuss the valuation of collateralised debt obligations (CDOs). Following on from their December 2007 article, which focused on CDOs referenced to corporate credits, the authors turn their attention to CDOs of asset…
Rating knock-outs
Constant proportion debt obligations
FSA cracks down on client valuations
Daily news headlines
Iterating cancellable snowballs and related exotics
Cutting edge: Exotic options
Hedge funds solve the risk culture puzzle
As recent reverses amply demonstrate, risks beyond investment risk can cause even the most sophisticated hedge funds to take a battering. Navroz Patel finds out about leading managers' greatest fears, and how they are tackling thorny issues such as…
To store or not to store
Natural Gas