Technical paper
Pricing risk on longevity bonds
Cutting edge: Longevity bonds
DrKW
Quant analysis
Cattolica Assicurazioni
Quant analysis
KBC Group
Quant analysis
Quant analysis by StructuredRetailProducts.com
Quant analysis
HSH Nordbank
Quant analysis
A Merton approach to transfer risk
Transfer risk is the risk that debtors in a country are unable to ensure timely payments of foreign currency debt service due to transfer or exchange restrictions, or a general lack of foreign currency. Although this risk is not extensively addressed in…
Variance swaps and non-constant vega
Variance swaps have gained in popularity due to their ability to provide investors with purevolatility exposure – a fairly stable gamma exposure despite changes in the value of theunderlying. The vega exposure of this product, however, varies linearly…
Time for multi-period capital models
Several financial institutions use single-period models to determine their credit portfolio lossdistribution, calculate their loss volatility and assign economic capital. Here, Kevin Thompson,Alistair McLeod, Panayiotis Teklos and Shobhit Gupta…
Smile dynamics II
In an article published in Risk in September 2004, Lorenzo Bergomi highlighted how traditionalstochastic volatility and jump/Lévy models impose structural constraints on the relationshipbetween the forward skew, the spot/volatility correlation and the…
Understanding Sam
The Samuelson Effect – backwardation in the term structure of forward volatility – can lead to valuation inaccuracies. In capturing the Samuelson Effect in energy derivatives valuation, analysts have tried both historical approaches and those that rely…
Quant analysis by StructuredRetailProducts.com
Quant analysis
Caja de Burgos
Quant analysis
Deutsche Bank
Quant analysis
HVB
Quant analysis
Zurich Financial Services
Quant analysis
Bond execution models
Quantitative trading l Cutting edge
A fully lognormal Libor market model
In the Gaussian Heath-Jarrow-Morton model, all discount factors are lognormal under allforward measures. The Libor market model does not have this property – only the relevantforward Libor rate is lognormal under a given forward measure. However, all…