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