Tuesday, July 31, 2012

Random Walkers Roundtable: Pricing and Risk Management of Interest Rate Quantos

On 19th June, Maroon and CQF co-hosted the first Singapore Random Walkers roundtable to discuss the pricing and risk management of interest rate quanto swaps. Bringing together quant finance practitioners from a variety of leading global firms, including investment banks, auditors, and systems providers, it proved to be a lively and instructive session.

Led by a local expert in the field, a strong agenda focussed on the practical aspects of managing a portfolio of quantos from the sell-side perspective:

  • Definition: What is a quanto swap, and what is its purpose?
  • Pricing: Standard market practice; Black, Hull-White.
  • Hedging: Intuition and practice.
  • Gotchas: What the common models miss out.
  • FX Vega: Problems in hedging.

A copy of the handouts can be found here.

About the Random Walkers Roundtable

A regular, open discussion about current hot topics in quant finance. With topics proposed by participants, each session is led by an expert in the field and is formatted to encourage active participation from all attendees. The next session will be on 14th August.

For further information, please contact raimondo.sarich@maroonanalytics.com or k.emerton@7city.com.

1 comment:

  1. The next event will be held on 14th August and the topic is A European Perspective on PFE and CVA. To sign up and RSVP, go to http://linkd.in/OMGanl