Equity markets

The Big Interview: Ron Kazel

The managing director of agency MBS investor Annaly Capital Management talks to Sarfraz Thind about the impact of the recent decision by the US government to back mortgage agencies Fannie Mae and Freddie Mac

Smile dynamics III

In two articles published in 2004 and 2005 in Risk, Lorenzo Bergomi assessed the structural limitations of existing models for equity derivatives and introduced a new model based on the direct modelling of the joint dynamics of the spot and the implied…

US authorities step in to rescue GSEs

The US Treasury and Federal Housing Finance Agency (FHFA) announced on Sunday details of a rescue plan to place the government-sponsored enterprises (GSEs) Fannie Mae and Freddie Mac into government conservatorship.

BNP Paribas launches autocallable fund in France

BNP Paribas has launched a new collective investment fund which has the potential to kick out after two years with a 14% coupon. The capital-guaranteed fund Flamenco FCP (fonds commun de placement) is linked to the performance of the DJ Eurostoxx 50. At…

Unpacking Russia's onshore potential

As an emerging market, Russia offers massive growth potential in the structured products arena. Yet the bulk of business is conducted offshore for wealth clients, leaving little trace of an onshore market. While investors and bankers are keen to develop…