Asia Risk - March 2006
Articles in this issue
Inflating demand
Japan inflation-linked bonds
BoA mis-states derivatives positions
Bank of America underestimates its income by $345 million
China permits renminbi rate swaps
A new risk-management tool will be useful but needs careful consideration
HKEx trades up
Hong Kong Exchange
Seoul searching
Korea regulation
Thai banks take FX systems
UOB and Siam Commercial upgrade trading software
Standing alone
Commodity funds
Timetable trouble
Basel II
Singapore warrant market swings
Singapore becomes fifth biggest warrant market, but others are also growing fast
Breaking barriers to high net growth
Malaysian regulation
Retail therapy in Hong Kong
Profile
Computation methods - Smoking adjoints: fast Monte Carlo Greeks
Monte Carlo calculation of price sensitivities for hedging is often very time- consuming. Michael Giles and Paul Glasserman develop an adjoint method to accelerate the calculation. The method is particularly effective in estimating sensitivities to a…