Unlike standard derivatives instruments, correlation products contain nonseparable risk, meaning that the price sensitivity of one risk factor is a function of the level of another risk factor. This article outlines the pricing and hedging of one type of correlation product, the differential...

Monte Carlo simulation has been used to value options since Boyle's seminal paper. Monte Carlo simulation, however, has not been used to its fullest extent for option valuation because of the belief that the method is not feasible for American-style options. This paper demonstrates how to...

Prior to the financial crisis of 2008, the over-the-counter derivatives market was not required to “clear” transactions. This changed with the signing of the new financial reform legislation, the Dodd–Frank Act on July 21, 2010. Going forward, most OTC derivatives will be cleared through a...

In the period prior to the financial crisis, leverage in the financial system increased substantially. This buildup was likely facilitated by, among other factors, a loosening of credit terms related to OTC derivatives and securities financing transactions. However, little or no systematic data...

Remarks at the 2010 Institute of International Finance Annual Membership Meeting, Washington, D.C.

Remarks at the 2013 OTC Derivatives Conference, Paris, France.

Remarks at 2013 Resolution Conference: Planning for the Orderly Resolution of a Global Systemically Important Bank, Washington, D.C.