5

I suspect the link is describing autocallable notes of some sort. Typically investors (the buyers of these notes) get high coupon rates in return for selling downside protection, i.e. they sell put options (usually with barrier) to the bank to finance these coupons. That means that as the index moves down approaching the put option barrier the banks become ...


5

The specific quote you reference from the article is from a section explaining why/how the current environment came to be. Note that 'current environment' in the context of this article is almost 16 years ago as the article is dated October 2004. The specific paragraph from that section is referring to the long end of the volatility curve where banks were ...


3

So far I only know that SunGard has a product named "Ambit Focus", where its module "Liquidity Risk" supports the LCR and NSFR reports according to Basel III liquidity rules.


3

Here couple ETFs that may satisfy what you are looking for: http://www.quant-shares.com/etf-list/ http://www.etc.db.com/GBR/ENG/Institutional/Downloads/ISIN/Factsheets/GB00B4N0QN94 http://guggenheiminvestments.com/products/etf/wmcr http://etfdb.com/type/investment-style/high-beta/ Those include ETFs with a momentum approach, mean-reversion approach, micro ...


2

The key differences are: Futures are traded on exchanges and settled via mark-to-market (MTM) margin accounts with the exchange. FRAs are over-the-counter (OTC) products with collateral exchanges based on the MTM of the trade and subject to the credit support annex (CSA) agreement between the bilateral counterparties FRAs can be written as any tenor out of ...


2

Preamble It is in general true that structured products can be decomposed in simpler products (linear and options for example). Regardless of the decomposition of the specific product, it is typical for the bank to "buy" some rights from the customer. This is the way to grant a higher (expected) yield in structured products: there is no free lunch, if ...


1

Structured Products issuers must hedge dynamically most of the risks associated with a product. This means depending not only on the type of product issued but also the market conditions throughout the product's life (i.e the time to maturity), issuers will need to buy or sell various market instruments; including volatility related hedges (varswaps, listed/...


1

Interest rate swaps for 2-10Y and forward rate agreements for the short end (or the non-deliverable variant, where applicable) are the best way. Some currencies are available via RFQ on aggregators like TradeWeb (e.g. ZAR, PLN, HUF, CZK) but others are very much voice markets. You’ll need a prime broker, and give-up agreements with executing brokers to get ...


1

An IR futures is a futures contract. Therefore it is exchange traded and PnL is reflected every day on the margin account. With futures you usually have the expectation under the risk neutral measure for pricing: $$ f_{t,T} = E[r_T|F_t]. $$ You can calculate this using a properly calibrated interest rate model and Monte Carlo e.g. The FRA is as far as I ...


1

OneSumX (FRS Global - now officially Wolters Kluwer Financial Services). Due to the impact on market risk (explicit creation of new contracts from available liquidity lines, firstly affected by interest rate risk) and on credit risk (negative exposure to be considered in the LCR, and not simply floored to zero) you might need both the market and liquidity ...


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