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Pedagogy What is CPPI (Constant Proportion Portfolio Insurance)?
CPPI or Constant Proportion Portfolio Insurance is a dynamic management technique that ensures a minimum guaranteed amount to an investor at the time of maturity
Note What is Structured Finance ?
If the current crisis (labelled as the subprime crisis) has highlighted the complexity of structured finance along with the necessity of developing more sophisticated risk management tools, it appears that a great deal of misunderstanding still prevails among economic and (...)
Innovation JP Morgan launches the LifeMetrics index
To reduce the risks on the pension fund industry, JP Morgan launched the LifeMetrics index. This index is part of a global platform called "LifeMetrics" which aim is to measure and manage longevity and mortality risk (...)
Interview Elie Ayache : « The trading of derivatives products has nothing to do with the probability distributions»
He was among the first volatility traders in the matif ! ITO33 Founder and former head of research at Dexia AM, Elie Ayache gives us his thoughts on the derivatives markets he defines as the technology...
News French Legion of Honour awarded to Nicole El Karoui
Nicole El Karoui, a mathematics professor and expert on probability, received, on October 15th 2006, the French Legion of Honour for her pioneering work in the field of mathematics applied to finance.
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