Valuation
MVA by replication and regression
Burgard and Kjaer method is extended to include margin valuation adjustment
Anatomy of a model: Valuation of physical assets
Quant ideas paper dissects layers of valuation models for physical assets
Goldman hid swaps profits from clients, whistleblower claims
US bank accused of manipulating client valuation reports to mask profits
Robust valuation and hedging of tolling agreements and physical assets
Flexible, martingale duality-based method provides reliable valuation
SEC to focus on fair value in alternative mutual funds
Fund managers need to ensure internal controls are up to the mark
Hedge funds see fund admin offering divergence
Providers distinguished by Emir and AIFMD reporting and valuation services
Hedge funds seek third-party Emir valuations
Delegating Emir reporting may cause more problems than it solves
Commerzbank's role in the creation and development of the structured products market
Sponsored interview: Commerzbank
PRA ramps up monitoring of valuation risk
Regulator reasserts governance and control requirements ahead of Solvency II
Fair value accounting's blind spot
Market prices ignore time-to-liquidation, says David Rowe
UK regulator warns insurers over poor asset valuation controls
Failures observed in valuation governance, documentation and models
Cutting edge: Valuation and optimal hedging of storage contracts in incomplete gas markets
In this paper, Magnus Wobben, Tilman Huhne, Yuri Ivanov and Sebastian Hanneken examine the impact of market incompleteness on the valuation of gas storage contracts. In contrast to prior research, their proposed valuation framework accounts for the…
German banks agree to reveal structured product valuations
In a bid to stay one step ahead of the regulators, a consortium of major German banks has volunteered to boost disclosure around the pricing and payout probabilities of their structured products
Cutting edge: Electricity contract risk with portfolio effects
The incremental risk of including electricity contracts in a portfolio is computed by George Levy using a Monte Carlo regime-switching approach. The volume and price processes are modelled using empirical distributions and correlation is captured via a…
Reconciliation + regulation = complication
Incoming rules on portfolio reconciliation could encourage many derivatives users to outsource the process. But it’s not a simple short cut, warn Mike Pierides and Alistair Charleton of Pillsbury Winthrop Shaw Pittman
Hedge fund valuation practices under scrutiny
Under pressure from regulators and investors, hedge funds are establishing robust pricing policies for hard-to-value assets.Rubber stamping the manager's pricing model is no longer acceptable
Cutting edge: Correlation functions in the crude oil and natural gas futures markets
Given the importance of the crude oil and natural gas futures markets, the intra-market correlations in these markets play an important role in pricing, hedging and managing the risks of energy portfolios. This paper by Ehud Ronn contributes to the…
SEC says crucial information being withheld from investors in structured notes
In its latest letter, the SEC orders banks to highlight the difference between fair market value and issue price to help investors see what their investment is worth
SEC closes in on sweep guidance for structured notes estimated value disclosure
The SEC will soon send issuers final guidance on structured note valuation disclosure, following a sweep letter sent last April
Northern Trust to shadow BNY Mellon at Bridgewater
Northern Trust appointed to replicate middle- and back-office functions of existing administrator BNY Mellon at $140bn hedge fund
Custody Risk Americas Awards 2012
Custody Risk is pleased to unveil the winners for the Custody Risk Americas Awards 2012
Standard CSA: Industry's solution to novation bottleneck gets nearer
New CSA, new challenge
Calls for consistency over risk-free rate
Rates manoeuvres
Standard CSA: Industry's solution to novation bottleneck gets nearer
New CSA, new challenge