Traditional thinking about investment has been thrown on its head in the wake of the financial crisis. Many investors no longer accept the idea that diversification reduces risk and the stock market provides the best long-term returns. With global markets increasingly interlinked, markets tend...

In this presentation, we discuss alternative parameterisations of SABR model, the meaning of SABR parameters, the computation of smile Value At Risk using SABR model, and at the risk management implications of the inaccuracy of SABR formula