LFS Insights

    Expert Teaching for Exceptional Performance

    Valuing Linkers, an Introduction

    1. How do you price a Revenue Swap?A revenue swap is priced with reference to a series of Zero Coupon Swaps with maturities corresponding to the..

    Oct 11, 2024 10:59:41 AM / by David Cox

    Wrong-Way Risk (Q&A from the Webinar)

    1. What are your thoughts on methods for default correlation estimation? When there are no direct estimates available, sometimes equity or CDS..

    May 9, 2024 12:35:39 PM / by Jon Gregory

    Monetising Convexity (Q&A from the Webinar)

    1. Is it fair to say that options actually have two types of convexity: one due to the payoff structure, working along the underlying’s price..

    Mar 13, 2024 4:38:11 PM / by Richard Fedrick

    Fixed Income Attribution – Towards a Generic Model? (Part 2)

    This article was first published in the Journal of Performance Measurement Volume 27-4, Summer 2023

    Jan 19, 2024 4:46:51 PM / by Paul Giles

    Decentralized Finance on the Blockchain in 2023 (Q&A from the Webcast)

    1. How is regulation evolving?

    Dec 14, 2023 4:46:33 PM / by Jean-Luc Verhelst

    Advances in Asset Allocation (Q&A from the Webcast)

    1. In Modern Portfolio Theory - there is a lot of valuable information about factors and style funds where they position within the mean variance..

    Oct 19, 2023 2:44:48 PM / by Andreas Steiner

    Trading and Managing Equity Derivatives in 2023 (Q&A from the Webcast)

    Jul 21, 2023 10:03:29 AM / by Dr Simon Acomb

    How do Boards Add Value Amid Covid-19 Challenges?

    Apr 1, 2022 4:24:00 PM / by Roy Ling

    Credit Value Adjustment and Counterparty Risk

    Mar 14, 2022 9:32:00 AM / by Jon Gregory

    OTC Derivatives and Counterparty Risk

    Over-the-counter (OTC) derivatives are important financial transactions that allow hedging of interest rate, foreign-exchange and other risks...

    Jan 27, 2022 12:58:09 PM / by Jon Gregory

    The World’s Top Authority explains Derivatives and Counterparty Risk

    Derivatives can be complex and potentially high-risk financial instruments. The purpose of this post is to help you better understand their key..

    Jan 27, 2022 10:11:13 AM / by Jon Gregory

    How Covid-19 has made the Stock-Bond Correlation Key

    The correlation between the returns on stocks and default-free government bonds determines a crucial part of the scope for portfolio diversification..

    Sep 29, 2021 4:32:18 PM / by Henrik Lumholdt

    Fixed Interest Attribution – Towards a Generic Model? (Part 1)

    Sep 8, 2021 12:49:47 PM / by Paul Giles

    The Role of Default Dependency in a World of Rising Debt

    In this article, we discuss:

    Jul 9, 2021 4:59:26 PM / by Andreas Steiner

    Modern Derivatives Pricing – CSA Discounting

    May 19, 2021 1:23:34 PM / by Richard Fedrick

    Modern Derivatives Pricing – Collateral, Funding and OIS Discounting

    May 19, 2021 1:13:13 PM / by Richard Fedrick

    Interest Rate Derivatives Discounting – What it is and What it isn’t

    May 19, 2021 1:06:29 PM / by Richard Fedrick

    Does the FRTB ensure that capital reflects trading risk?

    I recently spent an enjoyable few days leading seminars on the Fundamental Review of the Trading Book (FRTB) with a financial supervisory authority...

    May 19, 2021 12:55:46 PM / by Dr Simon Acomb