13 December 2017
visit www.solutions.lexisnexis.com

FRSGlobal works on theoretical foundation for fair value-pricing of emission-linked derivatives

05 May 2010  |  2215 views  |  0 Source: FRSGlobal

FRSGlobal, the industry-recognised leader in content-rich solutions for unified global regulatory reporting and risk management today announced that it is working with the Institute of Data Analysis and Process Design of Zurich University of Applied Science (ZHAW) to create the world's first theoretical foundation to gauge fair value pricing of emission-linked derivatives contracts.

This CTI1 project is being led by Professors Wolfgang Breyman (ZHAW) and Jury Hinz (National University of Singapore) in conjunction with risk experts from FRSGlobal.

The research targets two key areas to ensure high-performance and rapid calculation:
• the modelling of the martingale dynamics2 of futures contracts on emission allowances
• and the implementation of quasi closed-form expressions3 for European call options on emission allowance futures.

The results of the project will be incorporated into FRSGlobal's RiskPro risk management suite and presented over 2010/11. The RiskPro solution will provide FRSGlobal customers with a high-performance option evaluation engine supplemented by a reliable model calibration technique based on historical prices of emission allowances.

Thomas Brouwer, Head of Product Management, FRSGlobal, commented: "The emission markets are being established globally and are growing rapidly4. The increasing liquidity in trading futures on greenhouse gas emission allowances has led to the trading of emission-linked derivatives. The current problem faced by the industry is that no theoretical foundation for pricing of these contracts is available, and this research and development places FRSGlobal at the forefront of making this a reality."

Willi Brammertz, Chief Risk Advisor at FRSGlobal adds: The significance of this development lies beyond its novel analysis techniques in the integrated nature of the approach for the non-financial industry. The gap between the financial and the production side found in most - if not all - non-financial industries, can be closed. RiskPro offers the common language for the two sides which have been incommunicado for too long. The advanced simulation techniques allow for the first time to join the real production and the financial side of any industry - including the ones producing CO2 - and see the full financial consequences of any strategy."

Comments: (0)

Comment on this story (membership required)

Related company news

 

Related blogs

Create a blog about this story (membership required)
visit www.atos.netvisit www.response.ncr.comvisit www.aciworldwide.com

Who is commenting?

Top topics

Most viewed Most shared
Saxo Bank's 'Outrageous Prediction': Bitcoin to peak at $60k next year before spectacular crashSaxo Bank's 'Outrageous Prediction': Bitco...
11905 views comments | 7 tweets | 7 linkedin
Deutsche Bank paper hails 'huge' blockchain potentialDeutsche Bank paper hails 'huge' blockchai...
8971 views comments | 15 tweets | 21 linkedin
PSD2: Laying the regulatory foundation for a new age in paymentsPSD2: Laying the regulatory foundation for...
7291 views comments | 17 tweets | 35 linkedin
Santander UK poaches Barclays innovation chief Michael HarteSantander UK poaches Barclays innovation c...
7176 views comments | 8 tweets | 17 linkedin
Alior Bank to use Open API platform and accelerator to create fintech marketplaceAlior Bank to use Open API platform and ac...
6996 views comments | 20 tweets | 11 linkedin

Featured job

Find your next job