Equity Implied Volatility Dynamics

With the latest release of flexible risk dynamics functionality in Clarion, Coremont’s Quantitative Analysis team examine how well the most common vol/spot dynamics describe equity volatility surface movements. We’ve printed an overview and our conclusions below, and...

LIBOR Reform: Implications for FRAs

This note explains a feature of the ISDA LIBOR fall back mechanism that may have a material impact on the value and risk profile of FRAs expiring after the end of 2021. ISDA have proposed a fall back mechanism to determine how LIBOR indexed derivatives will behave in...

LIBOR Reform: SOFR Discounting

CCPs’ change to SOFR discounting: What about the bilateral OTC trades? It is well known that CME and LCH will switch their discounting curves to SOFR for USD instruments. This is set for October. The details of the CCPs’ transition have been well publicised and...

Alliance with State Street

State Street Corporation (NYSE:STT) announced today it has entered into an alliance with Coremont to provide fully integrated outsourcing services for hedge fund managers, covering front, middle and back office operations. This alliance combines Coremont’s portfolio...