Learning Curve
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European options on an underlying S were initially introduced as a mean of protection against a rise or fall of S between today and the expiry of the option.
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Choosing the tenor for a hedge can be no easy task.
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Derivative exposures currently are calculated by marking the transaction to market, applying an "add-on" to reflect the outstanding duration of the derivative and the riskiness of the underlying asset, applying the credit risk weighting of the counterparty and then reducing this total by 50%.
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The Basle Accord was promulgated in the late 1980s in the aftermath of the sovereign debt crisis.
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A number of specialist firms and major players are looking at developing a role in the fledgling market for bandwidth, which is the range of frequencies, or the volume of data, that a transmission line can carry.
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Currency overlay is becoming increasingly popular with investors who need to manage foreign exchange risk.
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Daily value at risk (DVAR) has grown in importance and has become the standard in evaluating the risk attached to a trader's position.
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How the flight to par effect can be used to create long option positions without paying premium.
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Recent financial debacles have shown the limitations of traditional VaR models.
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Bootstrapping from historical data is a practical way to create scenarios for Monte Carlo simulations. -
The measurement of operational risk (OR) earned considerable attention in the wake of huge losses at investment banks such as Barings and Sumitomo.
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