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Tag "derivatives"

Equity Risk Overlays Multi-Asset

Equity Risk Overlays Multi-Asset

🕔09:35, 1.Jun 2020

"For every complex problem there is an answer that is clear, simple, and wrong." Hedging equity portfolios against losses has become crucial for many equity asset owners after the long rally of 2009-2019 The rapid recovery following the Global Financial Crisis

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Mitigating the procyclicality of margins and haircuts in derivatives markets and securities financing transactions

Mitigating the procyclicality of margins and haircuts in derivatives markets and securities financing transactions

🕔09:01, 17.Jan 2020

By ESRB Expert Group on the Macroprudential Use of Margins and Haircuts This report considers systemic risks arising from the procyclicality associated with margin and haircut practices and sets out possible policy options to address these. Post-crisis regulatory reforms have resulted

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Pricing Individual Stock Options using both Stock and Market Index Information

Pricing Individual Stock Options using both Stock and Market Index Information

🕔10:07, 20.Jun 2019

When it comes to individual stock option pricing, most applications consider a univariate framework. From a theoretical point of view this is unsatisfactory as we know that the expected return of any asset is closely related to the exposure to

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The Sources, Risks and Benefits of Leverage

The Sources, Risks and Benefits of Leverage

🕔14:12, 23.May 2017

Weaker commodity prices, a policy of central bank tightening and some faltering economic momentum in the second quarter have markets concerned that China could be the source of a negative impulse to the global economy. • We believe that strong

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