Pricing
XVA solution of the year: Murex
Asia Risk Awards 2022
FX hedging dilemma vexes corporates as costs spiral
High volatility jacks up option prices, forcing firms to reconsider hedging activities
How Citi is handling topsy-turvy rates markets
Talking Heads 2022: Rate hikes and inflation have forced a rethink of the US bank’s hedging strategies
Market-making by a foreign exchange dealer
An optimal liquidity model for pricing and hedging decisions is presented
‘Repo by the minute’ could reshape lending – but not quite yet
Blockchain-based platforms from JP Morgan and Broadridge offer smart contracts that enable intraday repo
Key actuarial transformation trends across Apac in 2022
Digital transformation has resulted in growing market complexity. This has been heightened by both the introduction of more regulations for insurers and consumer demand for customised insurance coverage.
Repo haircuts and economic capital: a theory of repo pricing
The author proposes a repo haircut model that will identify capital for repo default risk as the main driver of repo spreads and allow investors to settle at an optimal combination of the haircut and repo rate.
FX needs for Apac corporates in 2022
This white paper examines the results of a survey, conducted in association with Bloomberg, that offers insight into how corporations based in the Asia-Pacific region interact with the FX market.
The contractual dividend bleed
Models for dividend protected options need to compensate for valuation mismatches
Linking performance of vanilla options to the volatility premium
A framework to account for vanilla options' performance in trading strategies is presented
Mutual funds struggle to value Russian bonds
Filings show just how challenging pricing securities has been during crisis
Swap rate: cash-settled swaptions in the fallback
A fallback pricing method that reduces vanilla swaptions’ complexity is introduced
Semi-analytic conditional expectations
A data-driven approach to computing expectations for the pricing and hedging of exotics
What drives the convertible bond market?
This whitepaper looks at the key drivers that influence the convertible bond market and how it provides unique opportunities for both investors and issuers.
Take advantage of relative value credit opportunities with advanced bond analytics
This whitepaper explores the challenges of bond analytics and how access to the right analytics can provide opportunities for more comprehensive trading strategies.
Shifting Cybersecurity from Compliance to a Risk Focus
Cyberattacks have grown in frequency and sophistication, with 3,813 data breaches reported in the first half of 2019, which was an increase of 54% over the previous year.
7 Steps to Performance-Enhancing ERM
Achieving best practices in risk management takes time and involves progressing through various levels. The important thing is that the three lines of defence are aligned around the ultimate objectives and understand their individual roles.
Integrated Risk Management (IRM) - The confidence to carpe diem
In a world that has changed almost overnight, businesses across the planet have had to adapt just as fast.
Pricing data is key to unlocking FX swaps e-trading
Digitec’s Stephan von Massenbach on why automation is needed for e-trading to reach its potential
Banks adopt Python for faster XVA data analysis and pricing
Some banks claim the coding language permits XVA pricing in milliseconds
The importance of enterprise resilience alongside rapid digital transformation
The Covid-19 pandemic has accelerated digital and organisational transformation for many companies but, as leaders across industries note, this has also made them more vulnerable to new risks.
Decrypting crypto: explaining the market from an institutional perspective
A new whitepaper series takes an institutional perspective in examining the multiple dynamics of the cryptocurrency space.
Climate intelligence: today and the future
This IDC Market Perspective covers the dynamics of the rapidly evolving AI and ML climate intelligence (CI) market.
Funds forced to estimate value of Russian securities
Western asset managers can sell Russian shares from April 1. But they have to value them by March 31