Negative interest rates have recently become a critically important issue in finance, as they impact some of the most basic calculations and procedures used by the financial community. Two prominent examples are the quotation of option volatilities and volatility smile interpolation models.
This white paper provides a methodology for portfolio choice based upon modern risk management techniques and a clearer definition of the investment risk/return profile to feature goal-based investing and probabilistic scenario optimisation.
This white paper looks at a breakdown of the different regulations for non-centrally cleared trades, how the new IM requirements affect the OTC derivative markets participants, IM based methodologies, the potential issues of the new sanctions and how to manage the ambiguities around IM.
This white paper describes one such extension of the widely used SABR model. We stress that our solution is more natural and attractive than the shifted SABR. An exact formula is derived for the option prices in the case of zero correlation between the rate and its volatility. For nonzero…
This paper describes the current state of UK mid-cap indexing and gives an overview of how the Russell UK Mid 150 Index will help provide larger capacity, quicker trading than of existing products in the marketplace.
This article examines how a swap portfolio’s value differs under the single and multi-curve approaches at four different snapshots in time―including pre-crisis, at the height of the crisis, post-crisis and today.
Under analysis in this white paper are options for addressing in loan documentation the US Commodity Futures Trading Commission requirement that guarantors of swaps that are not entered into on designated contract markets must be "eligible contract participants".
Following the example of the most reliable and secure foreign legislations on securitisation, Morocco has modified its securitisation act n°33-06. Under discussion in this white paper is the impact upon companies and investors in Morocco and Africa.
Vietnam recently introduced certain regulatory changes on foreign investors’ securities trading, and for the first time authorised the formation of securities investment companies (“investment companies”), exchange-traded funds (“ETFs”) and real estate investment funds (“REIFs”).
Recent case law shows how sovereign debt contracts may impact bondholders if s sovereign has also issued bonds which are governed by a particular jurisdiction. This white paper discusses the outcome and implications.