Vega

• Interest rate markets

Swap vega in BGM: pitfalls and alternatives

Raoul Pietersz and Antoon PelsserPractitioners who are developing the Libor BGM model for risk management of a swap-based interest rate derivative be warned: for certain volatility functions the estimate of swap vega may be poor. This may occur for time…

• 01 Mar 2004

• Equity markets

New products, new risks

Structured equity products marketed in Europe present considerable risk management challenges. The author shows the danger of using naive model-based approaches to price and hedge them.

• 01 Mar 2002

• Structured products

Globalisation and equity index exposure

Does the global presence of large multinational companies diminish the diversification effect inequity portfolios? Gary Robinson argues that this is indeed the case, and suggests a remedy

• 01 Mar 2002

• Infrastructure

Uncertain volatility

Market risk

• 01 Sep 1999