Browsing: Derivatives


Buy Side PMs Must Plan for Collateral Crunch

Dec 19th, 2012 | Filed under: Derivatives

As the reforms come on line, or as the asset management industry makes its adjustments in anticipation thereof, the initial margin requirements will be a big hurdle, in part because CCPs are quite restrictive about what assets are eligible as collateral. This may set the industry up for a collateral crunch. Read More

Vol Derivatives: Robust Benefits for European Equities Portfolios

Jul 2nd, 2012 | Filed under: Derivatives

A number of U.S. centered studies before this, such as one by Robert Daigler and Laura Rossi in 2006, had found that adding a long volatility position to an underlying equity portfolio has a significant diversification effect. But the authors of the new EDHEC paper wanted to determine whether the same benefits can be found in European data. Read More

Malaysian Derivatives Trading and Investor Memories

Jun 25th, 2012 | Filed under: Derivatives, Alpha Strategies

In a presentation about Malaysian derivatives trading, the issue of capital controls, and memories of the late 1990s, briefly came to the fore. Assume that a foreign investor considers Malaysia a promising place to invest. Will this investor be confident that if he does so he’ll be in a position to repatriate at his own choosing?Read More

Banks Aren’t Really Much Like Dominoes

Jun 20th, 2012 | Filed under: Derivatives

As a recent paper from four scholars at the Universidad de Santiago de Compostela, in Spain, observes, the extra flexibility risk managers gain from using credit derivatives comes with drawbacks. Perhaps the most obvious of drawbacks is that it creates counter-party risk. Still, the authors: Luis Otero González, Luis Ignacio Rodriguez Gil, Sara Cantorna Agra, and Pablo Durán Santomil, have written “Banking Risk and Credit Derivatives,” in order to take an empirical look at the balance of pros and cons. Read More

IOSCO and the Distance from Pittsburgh

Jun 19th, 2012 | Filed under: Derivatives, Regulatory

IOSCO, the international policy body for securities regulators, has this month published its own final report on international standards for the regulation of derivatives market intermediaries. This continues a course followed by international bodies ever since the G20 summit: the drift away from the grand idea of treating all derivatives in a standardized way, toward acceptance of the unharnessed character of the OTC world, though for all that a renewed insistence on regulating the particulars.Read More

Alpha Hunters: Looking at Alternative Investments From the Inside Out

Jun 7th, 2012 | Filed under: Hedge Fund Industry Trends, Real Estate, Private Equity, Hedge Fund Strategies, CTA, Derivatives, Institutional Investing, Alpha Hunters, Alpha Strategies, Venture capital, Forex

A deeper look at alternatives with Dr. Bob Swarup, a world-renowned expert and commentator on alternatives and financial markets as well as being a visiting fellow at London School of Economics.Read More

Credit Suisse: Making Fat Tails Work for You

Apr 25th, 2012 | Filed under: Derivatives, Alpha Strategies

The new normal, on Thambiah’s and Foscari’s account, includes an enhanced role by central banks, implementing monetary policies through open market operations, closer interconnections of banking institutions worldwide, much painful deleveraging, and persistently high levels of unemployment. Read More

Looking for Abnormal Market Activity

Apr 3rd, 2012 | Filed under: Algorithmic and high-frequency trading, Derivatives

Cinnober has sold a customized form of its Scila Surveillance software -- a product designed to detect abnormal market behavior -- to the Qatar Exchange. One of the purposes of Scila Surveillance is the detection of harmful variants of algorithmic trading, such as the trading "snipers" who drive off market makers and reduce liquidity. Read More