News
09 Jun 2015
Derivatives pricing theory assumes that markets are perfectly liquid and complete. The LNG market is neither of these. So how can LNG supply contracts be priced, and more importantly how can they be effectively dynamically hedged? What does this imply in terms of trading strategy constraints? This paper aims to answer these questions.
25 May 2015
This article provides an overview of the key aspects of how the BIS consultative document “Fundamental review of the trading book: A revised market risk framework” affects internal models. In particular it looks at how an existing Basel 2.5 compliant Risk Engine can be converted to comply with FRTB. Points of contention and vagaries in the FRTB paper are also highlighted.