Series of article on PRIIPs RTS

Posted by matteo tesser

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During this summer we published a series of articles which comparing the March/June version of the PRIIPs RTS. Please find below the links to such articles: 

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Date us if you need a partner to make PRIIPs KIDs!

Posted by Matteo Tesser

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On March 31st ESMA published the final draft of regulatory technical standards (RTS) on Key Information Documents (KIDs) for Packaged Retail and Insurance-based Investment Products (PRIIPs). The regulation will be in force on January 1st 2017.

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A Quantitative Framework for Structured Products Portfolio Optimization

Posted by Matteo Tesser

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In Fairmat every day we calculate risk/return profiles for more than 9000 structured retail products providing useful information to Funds Managers, IFAs and Investors through our product comparison services and our products testing reports.  This is a strong commitment for our team, and we aim to include more than 20,000 new products by the end of this year.

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Valuation of Embedded Options (Guarantees) in Pensions Funds and Cash Balances Plans

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A cash balance plan is a defined benefit plan that provides a participant with a periodic pay credit (commonly linked to salary and wages and usually tied to age and/or experience) and prescribes an interest crediting rate (usually tied to a constant maturity bond or a Consumer Price Index) that defines how the accumulation of pay credits will evolve over time. The benefit under the cash balance plan is expressed as a lump sum, known as the cash balance “account” or “current account balance” From [1].

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Transparency on derivative products stipulated by local authorities

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In the last decade, derivative financial instruments usage has been widespread in several sectors and viewed as a phenomenon of epoch-making impact. During this time, in Italy, the use of derivatives by local authorities was not regulated. This fact, together with the lack of information and knowledge in some cases has led to the incorrect use of financial instruments.

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Implementing IAS 39 Hedge Accounting with Fairmat

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The IAS 39 accounting rules disciplines the representation and the valuation of financial instruments on the balance sheet. A fundamental principle in IAS is that all derivatives are measured at fair value. Besides innovation in the valuation process, the IAS 39 principle introduces relevant advances in the hedging instruments accounting (Hedge Accounting).

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The financial derivatives crisis in the Netherlands

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We recently conducted research on the financial derivatives crisis in the Netherlands. We believe our findings are  very informative and so wanted to share them.  Please note that many of the linked resources are in Dutch. The crisis started at the beginning of 2012, when the largest Dutch social housing corporation Vestia in Rotterdam experienced the meaning of lack of risk control in the management of interest rate derivatives.

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Use of Fairmat by Universities (Spring 2012)

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After some preliminary experiments conducted with the university of Verona, in the last semester we have been contacted by several professors who showed their interest in using Fairmat for teaching.  We participated on three occasions using Fairmat  for two different topics.

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