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With the recent Financial Accounting Standards Board ruling, corporations will now be responsible for publicly disclosing the market value of their derivative portfolios.

Everyone is familiar with the idea of return on capital (ROC). If an investor makes an investment, he wishes to be sure of a good return on the capital invested.

Derivatives on pfandbriefe--the German mortgage bond market--have recently been opened up by the launch of a jumbo futures contract on the Deutsche Terminbörse.

In allocating and managing risk across global markets, it is crucial to take account of the interrelationships between different markets.

This article introduces a new type of recombining derivative pricing, called the willow tree, as an alternative to standard binomial and trinomial trees.

A perennial problem in software development is how to access common algorithms--analytical models for derivative pricing and risk management sensitivities--when working on different systems without re-inventing the wheel every time.

What information about a counterparty's default probability is determined by their stock price?

A company's decision to hedge, and its choice of the most suitable instrument represent the penultimate step in an integrated risk management process.

Credit risk is the potential mark-to-market loss, at a chosen probability level, caused by a change in the counterpartys' credit quality.

In January, banks in the U.S. became subject to new capital requirements for market risk arising from trading activities. These requirements are notable because the capital charge is based on banks' internal value-at-risk models.

A flexi-cap gives the holder the right to cap some but not all the period rates at a specified strike level over a given time span.

The German pfandbrief--morgage bond--market shows a significantly divergent behaviour over the bund or swap market.