Analysis
The liquidity gap
Regulators are increasing their focus on liquidity risk in response to the financial crisis, but there are questions about whether capital is an effective mitigant for liquidity risks and the nature of the relationship between liquidity risk and bank…
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…
Market snapshot
Tim Mortimer of Future Value Consultants looks at the pricing issues for structured products in different markets and provides his trade of the month
Product performance
Comparing principal-protected, accelerated growth and reverse convertible products with June 2009 strike dates
The callable countdown
JP Morgan has launched a callable countdown constant maturity swap range-accrual certificate of deposit that pays a coupon dependent on the proportion of days the CMS rate is within a 0-6.25% range. The tenor is 15 years and the product benefits from…
UK accumulation
Barclays is offering an accumulator product based on the FTSE 100, with lock-ins for every 15% rise in the index subject to a 60% cap. If the index does not trade above a 115% strike level and the 50% protection barrier is breached, capital is not…
Interest rates call
HSBC is offering US investors a 10-year investment in interest rates that pays 7% in year one and potentially as much in following years. The product is wrapped in a certificate of deposit, but investors may lose out if HSBC exercises its call at five…
Oil price volatility still concerns the market
After oil prices started to stabilise in the last quarter of 2009, all eyes turned to the market outlook for the year ahead. But as we enter a new decade, oil still remains at the top of the risk agenda and price forecasts differ vastly. Lianna Brinded…
Credit risk: The early warning signs
While more bullish analysts may be forecasting a return to growth for global economies, the threat of corporate bankruptcies remains elevated. Julia-Victoria Dück, Oliver Rambock and Christopher Hansert suggest a method for spotting the early warning…
Market snapshot
Tim Mortimer of Future Value Consultants looks at the pricing issues for structured products in different markets and provides his trade of the month
Product performance
We compare principal-protected, accelerated growth and reverse convertible products with June 2009 strike dates
Exceptions to the rule
Regulators have traditionally seen value-at-risk exceptions as an early warning of weaknesses in bank risk models. However, the financial crisis has shown VAR exceptions cannot be used to predict bank failures or distress.
Unbroken China
The global financial crisis had an indirect but significant impact on Chinese banks, which have had to manage the risks linked to the country’s large credit expansion in 2009. Financial institutions have also learnt useful lessons from the collapse of…
Derivatives onshoring
New rules coming into force in many jurisdictions in Asia are challenging the ability of global financial institutions to operate a hub-and-spoke business model for their derivatives businesses.