Equity derivatives
T+1 shift sparks dividend chaos in HK structured products
Products staying on T+2 leave providers scrambling to deal with ex-dividend dates caught inbetween
Hwang trial exposes flaws in verbal information handling
Court shown discrepancies in audio and email records; Credit Suisse insider says “fair amount” of intel slipped through cracks
BNP Paribas targets hedge funds with equity vol carry options
Bank aims to meet demand for QIS options extending beyond commodities
Nervous UK pension schemes want liquidity fixes – it’ll cost them
Asset managers are crafting new ways for schemes to raise cash in a crisis
Risk, portfolio margin, regulation: regtech to the rescue
This Whitepaper addresses the complexity of today’s risk environment for market professionals which can only be fully met with a regtec approach. Cost, competition, technology capability, and regulation influence and drive decision making.
As dispersion hikes in price, equity traders slice and dice
Banks tout alternative versions of relative value vol strategy, including reverse dispersion
Doubts dog equity dispersion as market grows up to five-fold
Some say $500 million vega notional – or more – in popular equity derivatives trades could be dampening volatility
Regulatory crackdown puts Korea autocalls in deep freeze
Mis-selling fears see distributors pull back, leading to 40% issuance fall in a month
‘Fear gauge’ within expectations, some say
Several options specialists dismiss claims that structured products are distorting the Vix
Options market still searching for cause of the Vix plunge
BIS paper blames yield-enhancing structured products, but market participants are unconvinced
Driving a modern operational resilience program
Strengthen your operational resilience processes, meet pertinent regulatory requirements in this space and enhance business continuity practices with the help of high-performance GRC technology
Canada’s FRTB pioneers get snowed on fund-linked trades
As Basel capital reforms go live, risk managers eye early adopters’ progress and push to improve capital treatment of fund-linked products
Recovering Greeks from sensitivities
This quantitative paper presents a model-independent method for calculating delta, vega and rho based on a comparison of the sensitivities of any derivative payoff with those of its underlying observables
A dynamic margin model takes shape
New paper shows how creditworthiness and concentrations can be reflected into margin requirements
China snowball knock-ins fuel futures sell-off
Market participants say issuer re-hedging has helped drive Chinese equity indexes lower
How HSBC got better at pricing share buy-backs
Monte Carlo approach generates faster, more reliable pricing for complex deals
Finding the investment management ‘one analytics view’
This paper outlines the benefits accruing to buy-side practitioners on the back of generating a single analytics view of their risk and performance metrics across funds, regions and asset classes.
Bank balancing: optimising margin and capital in a higher-rate environment
This Risk.net paper, which features leading practitioner insights, assesses the challenges banks are facing in the new higher rate environment and the strategies and tools they are using to optimise margin and capital on their derivatives portfolios.
Swiss autocalls ‘10% away from disaster’ as Roche shares slide
Popular ‘worst-of’ products flirt with downside barriers, but issuers see no cause for hedge alarm
The importance of data-driven decision-making in Apac
Embracing data-driven decision-making enabled by digital technologies is crucial for the success of lending institutions in Apac
Apac banks put trust in pre‑trade
Amid tougher trading conditions, Apac banks are making greater use of pre‑trade analytics to inform their strategies and reduce risk. But how successful are these tools?
Navigating IFRS 9: strategies for effective implementation and moving beyond
There has been a constant change within the landscape of financial reporting, and IFRS 9 has been proven to be a critical component.
Nasdaq revs up listed equity swaps; LSEG stuck in neutral
Trading opens for custom basket forwards, as LSEG shelves Turquoise and LCH tie-up
Using emerging technologies to improve the risk management function
This white paper discusses why capital markets firms need access to the most innovative technologies, real-time analytics, and timely and accurate data for better and faster decision-making in the risk function.