Technical paper
Trading opportunities in the Nymex frac spread
This article examines the long-term relationship between natural gas and propane futures. Using a technique known as 'frac' spread trading, Mbodja Mougoué and Steven Slack illustrate the opportunities that can occur from using the price fluctuations in…
A matter of attitude
Technical papers
Landesbank BW
Quant Analysis
Bayerische Landesbank
Quant Analysis
Credit Mutuel
Quant Analysis
Natwest International
Quant Analysis
Managing interest rate risk for non-maturity deposits
For many banks, non-maturity deposits represent a significant part of funding. However, there is still no commonly accepted approach to managing such deposits' interest rate risk. Marije Elkenbracht and Bert-Jan Nauta introduce two dynamic hedge…
Der indirekte Blick aus dem Sattel
Der Neueste Stand. Kreditportfoliorisiken
Sorridere alle convessità
Approfondimenti. Volatilità implicita
Operational VAR: meaningful means
Making the assumption that the distribution of operational loss severity has finite mean, Klaus Böcker and Jacob Sprittulla suggest a refined version of the analytical operational value-at-risk theorem derived in Böcker & Klüppelberg (2005), which…
A telling scope
The number of technical articles submitted each year to Risk has stabilised at around 90, and a high proportion of them are still about credit derivatives and credit portfolio risk analysis. In fact, in our Cutting Edge pages and behind the scenes we…
The saddlepoint method and portfolio optionalities
Richard Martin describes the application of saddlepoint methods to the calculation of tranche payouts and expected shortfall in loss distributions. Aside from computational use in their own right, the resulting formulas motivate a forthcoming discussion…
Maximum draw-down and directional trading
Maximum draw-down measures the worst drop in a market in a given time period. Jan Vecer shows how to price and replicate this event. Replication can be naturally linked to existing popular trading strategies, such as momentum or contrarian trading
Modelling natural gas futures returns
In this article, Mats Kjaer and Ehud Ronn propose and estimate the correlation matrix of natural gas futures returns. They describe the relationship between the correlation and the time between two contracts' maturities, along with the number of 'April'…
Understanding longevity bonds
Cutting edge: longevity bonds
Van Lanschot Bankiers
Quant Analysis
KBC Bank/CBC Banque
Quant Analysis
Britannia International
Quant Analysis
EverBank
Quant Analysis