Autocallables
South Korea prepares for EU benchmark equivalence
New regulatory framework aims to allow European firms to continue using local benchmarks
Nervy Korean autocall investors lean on lizards
After volatility surge, buyers give up coupons for better chance of early redemption
European supervisors may step in over Priips confusion
Differences in how issuers disclose product costs harming comparability, observers say
Nikkei sell-off puts Japanese autocall dealers on alert
Risk recycling may backfire if index slump continues
Monte Carlo payoff smoothing for pricing autocallable instruments
This paper develops a Monte Carlo method to price instruments with discontinuous payoffs and non-smooth trigger functions, which allows a stable computation of Greeks via finite differences.
Equity derivatives house of the year: Societe Generale
Risk Awards 2018: From geometric dispersion to fund derivatives, the French bank combines popular products with risk recycling strategies
Structured products house of the year: UBS
Risk Awards 2018: Swiss bank connects clients with cheap execution and innovative investment products – even when offered by rivals
Traders blame short gamma positions for Nikkei vol jump
Uridashis, macro positioning and ETFs behind record 23% rise in volatility on November 9
Banks tout new structures amid Korean autocall resurgence
Modified structured products still popular as banks learn lessons of China crash
Korean autocallable volumes double as HSCEI rallies
Diversification of underlying investment and additional protection options also behind revival
Banks tweak Euro Stoxx autocalls to cut concentration risks
Changes to popular structured products aim to help dealers reduce hedging costs, but will investors make the switch?
Autocall hedging set to push Euro Stoxx volatility higher
Rising index likely to trigger increased volatility, say dealers
Exchange of the year: Eurex
Risk Awards 2017: Futurisation paying off as bilateral margin rules bite
Bank risk manager of the year: SG CIB
Risk Awards 2017: Bespoke stress tests helped navigate Brexit and autocallable pressure
Equity derivatives house of the year: Bank of America Merrill Lynch
Risk Awards 2017: Innovation helped bank get closer to originate-to-distribute model
Synth City: how synthetic dividends could save autocallables
New indexes promise higher coupons and lower dealer hedging costs
Structured product innovation under threat, say distributors
Structured Products Europe: Regulatory burdens holding back new structures
FVC analysis: stress testing worst-of autocalls
Dual- or triple-index products offer higher potential gains but carry increased risk
Technology vendor of the year – bank: BNP Paribas
New tie-up nearly doubles Smart Derivatives platform’s client base
FVC analysis: stress testing defensive autocalls
Step-down features compress yields but increase chances of early payout
Risk managing structured products in a falling market
Capital-at-risk products with European-style barriers inherently more vulnerable in a downturn
Insurance regulators blamed for Priips delay
Dealers welcome late changes to product risk rating parameters
Autocallable issuers avoid pain despite HSCEI collapse
Dealers say Korean autocall pain subdued as volatility stays low
HSCEI autocallable hedging hitting forex market, say dealers
Dealers flock to Hong Kong dollar options and forwards markets amid depeg fears