Risk.net - Financial Risk Management News Analysis
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Understanding options – A real-world example on the impact that …
WEBSep 22, 2020 · While IV is often described as an input to a standard pricing model, we prefer to think of it as an element that “falls out” or is derived from a pricing model. Of course, if one was performing a theoretical or academic exercise to determine the theoretical value of an option, they would, indeed, typically input an IV level into the model they chose in order to generate a theoretical value.
Moving targets: the new rules of conduct risk - Risk.net
WEBJan 6, 2022 · Following the financial crisis that began in 2007–08 and the international regulatory onslaught that followed – primarily from the US and European Union – the cost of mishandling conduct risk is now greater for banking and financial institutions. Following the Enron scandal two decades ago and the ensuing enactment of the Sarbanes-Oxley Act in 2002, few envisaged a global financial ...
Total loss-absorbing capacity (TLAC) definition - Risk.net
WEBJan 1, 2022 · Total loss-absorbing capacity is an international standard, finalised by the Financial Stability Board (FSB) in November 2015, intended to ensure that global systemically important banks (G-Sibs) have enough equity and bail-in debt to pass losses to investors and minimise the risk of a government bailout. From January 1, 2022, G-Sibs are required to hold a TLAC amount of 18% in terms of risk ...
Netting definition - Risk.net
WEBNetting is the offsetting of payment obligations on derivatives contracts at a given time into a single net payable or receivable. The application of netting depends on the solvency of the counterparties. If they are solvent, payment netting applies: the cashflows owed on a given day and in a given currency are offset into a single net obligation. If one party defaults, close-out netting ...
Market risk definition - Risk.net
WEBMarket risk is the risk of losses on financial investments caused by adverse price movements. Examples of market risk are: changes in equity prices or commodity prices, interest rate moves or foreign exchange fluctuations. Market risk is one of the three core risks all banks are required to report and hold capital against, alongside credit risk and operational risk.
Equity derivatives house of the year: JP Morgan - Risk.net
WEBRisk Awards 2022. Last year’s red-hot equity market afforded equity derivatives desks plenty of opportunities for money-making – and a few ways to lose it all. JP Morgan seized the upside and deftly sidestepped the traps. The bank’s prime brokerage unit did not have Archegos Capital Management as a client – a relief when the family ...
VAR versus expected shortfall - Risk.net
WEBMar 1, 2007 · Expected shortfall, like VAR, is a function of two parameters: N (the time horizon in days) and X % (the confidence level). It is the expected loss during an N -day period, conditional that the loss is greater than the X th percentile of the loss distribution. For example, with X = 99 and N = 10, the expected shortfall is the average amount ...
Prime broker of the year: Barclays - Risk.net
WEBFeb 17, 2022 · Three words likely to chill the blood of prime brokers after the collapse of the family office last year blew a $10 billion hole in the balance sheets of Credit Suisse, Nomura, Morgan Stanley, UBS and others. But not all prime brokers suffered in 2021. Barclays ended the third quarter with record hedge …
Risk magazine - a Risk.net magazine and app
WEBDownload the Risk Magazine app. Each month the magazine content is reformatted to make the most of your tablet and mobile’s functionality while retaining the familiar feel of Risk Magazine. Download the Risk app today to read content from the undisputed leader in risk management and derivatives intelligence on your tablet and mobile.