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Modeling Volatility and Valuing Derivatives Under Anchoring
Paul Wilmott, Daniel Duffy & Alan Lewis

We develop a complete-markets model with volatility smiles, tractability, and intuitive appeal as an anchoring or habit-formation model. Like traditional stochastic volatility models, it is invariant to a multiplicative scaling the stock price levels. The anchoring effect is that the volatility depends on the relative value of the current stock price compared to its past history, with an exponential weighting.

Click here for free access to this and more exclusive content from the September Issue of Wilmott Magazine.

Internal LGD Estimation in Practice: Wilmott Magazine Article
Peter Glößner, Achim Steinbauer, Vesselka Ivanova 1609 Views

Driven by a competitive market and motivated by the new Basel Capital Accord (Basel II), banks have put a lot of effort into development and improvement of their methods to assess the creditworthiness of their obligors and to deduce the probability of default (PD). However, not only the probability of default but also the economic loss in the case of default have to be estimated to quantify credit risk and to calculate the Basel II capital requirements under the advanced approach.

The 2014 Regulatory Summit on: Risk Data Aggregation & Reporting | 24 - 25 September 2014, Venue TBC, Central London
The 2014 Regulatory Summit on: Risk Data Aggregation & Reporting
24 - 25 September 2014, Venue TBC, Central London - VIP Code: FKM62862WMTEM

View Latest Agenda| | Register by 22 August & Save £100 + Extra 10% Courtesy of Wilmott

Don't miss out on your last chance to take advantage of our early bird savings, register by this Friday and save £100!

Key highlights of what you can expect:

- 3 Regulators discuss data priorities
- 15+ Risk Data experts on the speaker panel
- Case studies from leading banks including: Lloyds Banking Group¸ Credit Suisse, UBS, Santander, RBS, Deutsche Bank,
Raiffeisen Group, State Street Bank, ABN Amro

Regulatory insights and clarity on risk data regulation:

- Financial Stability Board: Data Gaps framework
- Requirements and timelines for BCBS 239, LEI and the FDSF
- Regulatory roundtable: National interpretation of the BCBS 239 Risk Data Aggregation and Reporting principles

Enhance aggregation and reporting capabilities within the bank:

- Achieving data aggregation across the group
- Practical steps to accuracy and integrity for risk data
- Reconciliation and control systems for risk data
- Developing an information delivery process for risk data

Overcome architectural challenges to leverage risk data for the business:

- Ensuring data lineage processes
- Investing in operating models for Risk and Finance data
- Leveraging risk data to improve the bank?s understanding of customers
- Overcoming process and technology challenges in a cost saving and efficient way

View Latest Agenda| | Register by 22 August & Save £100 + Extra 10% Courtesy of Wilmott

Hear from Regulators and Heads of Risk, Data and Architecture from Banks:

Pietro Franchini
Secretariat
FINANCIAL STABILITY BOARD

Olya Ranguelova
Head of Section International Affairs Department
ACPR

Matthew Trager
Head of Finance Architecture & Design Finance COO
LLOYDS BANKING GROUP

Gulsh Mandair
CRO: Risk Analytics & Reporting, BCBS 239 Lead
CREDIT SUISSE

Marie-Christine Crewe
Managing Director, Head of Risk Control Operations
UBS

Beat Hodel
Head of Group Risk Controlling (CRO)
RAIFFEISEN GROUP

Alessandro Ricci
Vice President, Chief Risk Officer
STATE STREET BANK SPA

Barry Smith
Director
AVANTAGE REPLY

Patrick Dewald
Director
DIAKU

Tony Chau
Executive Director, Lead Architect IB CTO
UBS

Javier Villanueva
Process and Change Management
SANTANDER

Adrian Maconick
Director, Regulatory and Risk Data Projects
FINSBURY SOLUTIONS


View the full list of confirmed speakers

Remember to Book by this Friday 22 August to Save £100 + Extra 10% Discount Courtesy of Wilmott

To register:
Visit the website
Email: custserv@infoline.org.uk
Call: +44 (0)20 7017 7702

Don't forget to quote your VIP Code FKM62862WMTEM

Kind regards, Holly Clawson
Marketing Manager
Infoline Conferences

P.S. If you can't attend an event, you don't need to miss out completely! Click here to buy the documentation.
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