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UnRisk: Finance@Court
Andreas Binder

Municipalities would do well to analyze payoffs and the risk of swaps before taking a leap with taxpayers' money...

Low Strike Extrapolation for SABR - d-fine
Sebastian Schlenkrich, André Miemiec, Tilman Wolff-Siemssen, d-fine GmbH, Frankfurt, Germany

In this paper we analyse the modelling of rate options in a low interest rate market environment. In particular, the pricing of low, zero and negative strike vanilla options is considered. We review the modelling approaches available in the literature. For the important special case of the widely used SABR formula we illustrate the shortcomings connected with the low strike wing of the smile.

Moreover, a simple approach of low strike extrapolation will be presented. It is based on gluing the density function implied by the standard SABR formula to a suitable density function at low strikes in an arbitrage free manner. This approach yields a robust and transparent method to price low, zero and negative strike vanilla options.

... And Justice For All!: Wilmott Magazine Article
Ralf Korn 1746 Views

Justice between living people is already very hard to obtain, but justice between generations seems to be impossible. In this article we propose the idea of value preservation as a guarantee for intergenerational justice.

The 5th European Practitioners' Forum on: CRDIV Operating Models - 21-23 January 2015 - London - 10% Wilmott Discount
The 5th European Practitioners' Forum on:
CRDIV Operating Models


21-23 January 2015 - London

http://www.infoline.org.uk/FKM62928WML

This unique event is comprised of three separately bookable days, helping attendees integrate the Final Capital and Liquidity Guidance into Products, Models and the Business:

Conference 1:

CRDIV Capital

Building the CRDIV Capital Guidance into Business as Usual Processes and Assessing Business Profitability

21 Jan 2015 - London

Highlights including:
- PRA Priorities for the implementation of CRDIV
- Industry panel: Planning for the impacts of regulation, stress testing and fines on Capital

Bank led case studies including:
- Building CRDIV Capital into products and models
- Enhancing capital planning with econometrics
- Capital optimisation for a mid-tier Bank
- Capital allocation and transfer pricing within the business

--------------------
Conference 2:

CRDIV Liquidity

Building the Finalised Delegated Act for the LCR into Liquidity Planning and Management

22 Jan 2015 - London

Liquidity highlights including:
- Analysing the finalised Delegated Act for the LCR
- PRA Priorities for Liquidity Reporting
- The future of Liquidity Supervision under the ECB

Bank led case studies including:
- Utilising LCR dynamic forecasting in the business
- Integrating CRDIV liquidity with funding and FTP
- The implications of Sovereign Risk in the LCR
- Joint management of LCR and NSFR parameters
--------------------

Post-conference workshop:

Inter-dependencies between
Liquidity and Capital Ratios


23 Jan 2015 - London

Led by Christian Schmaltz, Assistant Professor for Banking at Aarhus University, benefits of attendance include:
- Understand the six Basel III ratios and their interdependencies
- Form practical strategies to enhance the joint management of the Basel III ratios within the business
- Optimise your ratio compliance program over a longer time horizon
- Be aware of the latest regulatory developments affecting the Basel Ratios

Learn more about all three days, download the agenda and register today at http://www.infoline.org.uk/FKM62928WML. Quote VIP code FKM62928WML to save 10% on your registration fee courtesy of Wilmott.
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