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SBAI Annual Report (2017)
Annual Report 2017 Table of Contents Contents 1. Foreword ............................................................................................................................................. 4 2. SBAI Mission ........................................................................................................................................ 7 3. The Alternative Investment Standards ............................................................................................... 8 Why are the Standards important? .................................................................................................... 8 4. The SBAI Toolbox .............................................................................................................................. 10 5. Overview of SBAI’s Activities in 2017/2018 ...................................................................................... 11 Key Highlights .................................................................................................................................... 11 Rebranding .................................................................................................................................... 11 North American Committee .......................................................................................................... 11 SBAI Toolbox ................................................................................................................................. 12 New SBAI Initiatives ..................................................................................................................... -
Hedge Fund Standards Board
Annual Report 2018 Established in 2008, the Standards Board for Alternative Investments (Standards Board or SBAI), (previously known as the Hedge Fund Standards Board (HFSB)) is a standard-setting body for the alternative investment industry and custodian of the Alternative Investment Standards (the Standards). It provides a powerful mechanism for creating a framework of transparency, integrity and good governance to simplify the investment process for managers and investors. The SBAI’s Standards and Guidance facilitate investor due diligence, provide a benchmark for manager practice and complement public policy. The Standards Board is a platform that brings together managers, investors and their peers to share areas of common concern, develop practical, industry-wide solutions and help to improve continuously how the industry operates. 2 Table of Contents Contents 1. Message from the Chairman ............................................................................................................... 5 2. Trustees and Regional Committees .................................................................................................... 8 Board of Trustees ................................................................................................................................ 8 Committees ......................................................................................................................................... 8 3. Key Highlights ................................................................................................................................... -
Derivatives: a Twenty-First Century Understanding Timothy E
Loyola University Chicago Law Journal Volume 43 Article 3 Issue 1 Fall 2011 2011 Derivatives: A Twenty-First Century Understanding Timothy E. Lynch University of Missouri-Kansas City School of Law Follow this and additional works at: http://lawecommons.luc.edu/luclj Part of the Banking and Finance Law Commons Recommended Citation Timothy E. Lynch, Derivatives: A Twenty-First Century Understanding, 43 Loy. U. Chi. L. J. 1 (2011). Available at: http://lawecommons.luc.edu/luclj/vol43/iss1/3 This Article is brought to you for free and open access by LAW eCommons. It has been accepted for inclusion in Loyola University Chicago Law Journal by an authorized administrator of LAW eCommons. For more information, please contact [email protected]. Derivatives: A Twenty-First Century Understanding Timothy E. Lynch* Derivatives are commonly defined as some variationof the following: financial instruments whose value is derivedfrom the performance of a secondary source such as an underlying bond, commodity, or index. This definition is both over-inclusive and under-inclusive. Thus, not surprisingly, even many policy makers, regulators, and legal analysts misunderstand them. It is important for interested parties such as policy makers to understand derivatives because the types and uses of derivatives have exploded in the last few decades and because these financial instruments can provide both social benefits and cause social harms. This Article presents a framework for understanding modern derivatives by identifying the characteristicsthat all derivatives share. All derivatives are contracts between two counterparties in which the payoffs to andfrom each counterparty depend on the outcome of one or more extrinsic, future, uncertain event or metric and in which each counterparty expects (or takes) such outcome to be opposite to that expected (or taken) by the other counterparty. -
Liquidity Premiums in Inflation-Indexed Markets
A Service of Leibniz-Informationszentrum econstor Wirtschaft Leibniz Information Centre Make Your Publications Visible. zbw for Economics Driessen, Joost; Nijman, Theo E.; Simon, Zorka Working Paper The missing piece of the puzzle: Liquidity premiums in inflation-indexed markets SAFE Working Paper, No. 183 Provided in Cooperation with: Leibniz Institute for Financial Research SAFE Suggested Citation: Driessen, Joost; Nijman, Theo E.; Simon, Zorka (2017) : The missing piece of the puzzle: Liquidity premiums in inflation-indexed markets, SAFE Working Paper, No. 183, Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe, Frankfurt a. M., http://dx.doi.org/10.2139/ssrn.3042506 This Version is available at: http://hdl.handle.net/10419/169388 Standard-Nutzungsbedingungen: Terms of use: Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Documents in EconStor may be saved and copied for your Zwecken und zum Privatgebrauch gespeichert und kopiert werden. personal and scholarly purposes. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle You are not to copy documents for public or commercial Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich purposes, to exhibit the documents publicly, to make them machen, vertreiben oder anderweitig nutzen. publicly available on the internet, or to distribute or otherwise use the documents in public. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, If the documents have been made available under an Open gelten abweichend von diesen Nutzungsbedingungen die in der dort Content Licence (especially Creative Commons Licences), you genannten Lizenz gewährten Nutzungsrechte. may exercise further usage rights as specified in the indicated licence. www.econstor.eu Electronic copy available at: https://ssrn.com/abstract=3042506 Non-Technical Summary Inflation-indexed products constitute a multitrillion dollar market segment worldwide. -
VICI Properties Inc
Table of Contents Filed Pursuant to Rule 424(b)(3) Registration No. 333-224846 PROSPECTUS 54,054,053 Shares VICI Properties Inc. Common Stock This prospectus relates to the offer and sale from time to time of up to 54,054,053 shares of our common stock by the selling stockholders named in this prospectus or in supplements to this prospectus. The registration of the shares of common stock to which this prospectus relates does not require the selling stockholders to offer or sell those shares. We cannot predict when or in what amounts the selling stockholders may sell any of the shares offered by this prospectus. We are filing the registration statement of which this prospectus is a part pursuant to contractual obligations that exist with the selling stockholders. We are not offering for sale any shares of common stock in the registration statement of which this prospectus is part. We will not receive any proceeds from the sale of our common stock by the selling stockholders, but will incur expenses. The selling stockholders from time to time may offer and sell the shares held by them directly or through underwriters, agents or broker-dealers on terms to be determined at the time of sale, as described in more detail in this prospectus or in a supplement to this prospectus. For more information, see “Plan of Distribution.” Our common stock is listed on The New York Stock Exchange (the “NYSE”) under the symbol “VICI”. On May 9, 2018, the last sale price of our common stock as reported on the NYSE was $18.89 per share. -
Hedge Fund Newsletter
HEDGE FUNDS SNAPSHOT 1Q17 IN THIS ISSUE 1 Overview: Hedge Fund Industry Trends OG Recruiter Interview: Graham Smith, Brian Palabrica, Amit Kapoor 2 OG Client Commentary: Hedge Fund Breakfast Highlights 3 4 People Moves 1. OVERVIEW Regulatory and compliance issues are Another pressing issue, particularly The first quarter of 2017 has seen a adding costs and creating hurdles for given the importance of quant talent strengthening of the dominant trend fundraising. Trade crowding is a for hedge funds, is immigration of 2016: quantitative investing. Quant growing problem that ironically has policy. In April, President Trump strategies are enjoying growth in been intensified by the growing signed an order directing American absolute and relative terms, as well reliance on quant strategies and low- agencies to propose new rules and as outperforming traditional, latency trading. Cybersecurity protocols for the H-1B visa program. fundamental strategies. As a result, constitutes yet another issue facing The President's goal is to ensure that hedge funds are heavily investing in hedge funds, forcing them into the current lottery system is replaced quantitative talent and technology to unending races against the ever- by one that favors the most highly boost risk management, portfolio evolving cyber-threats plaguing the skilled or most highly paid applicants; construction, and data science financial community at large. and further, the President is adamant operations. Candidates in the that anyone receiving such a visa quantitative space at all levels are The single greatest challenge facing must not be displacing an American seeing an increase in opportunity at hedge funds, however, is the political worker. -
Inflation Derivatives
Inflation Derivatives Graduation Thesis Financial Engineering and Management A research on the implementation of inflation derivatives within pension funds Supervisors: Dr. D.Y. Dupont Dr. R. A. M. G. Joosten Dr. B. Roorda Drs. P. Bajema Author: C.F.A.R. Wanningen Company: Blue Sky Group Date: July 2007 Preface his thesis about inflation derivatives is the result of a six-month research which started in February and ended in July at pension fund provider Blue TSky Group. During this period I conducted a literature research on inflation linked products and developed a pricing model. Moreover I visited investment banks in London and the Euromoney Inflation Linked Products Conference 2007 in Frankfurt. The visits provided me with valuable information insights and business experience. Furthermore conversations with specialists working at Blue Sky Group and investment banks helped me to understand how inflation linked products are traded in the marketplace. By writing this preface I would gladly grasp the opportunity to thank persons who made a contribution to this thesis. From the University of Twente I would like to thank Dr. D.Y. Dupont, Dr. R.A.M.G. Joosten and Dr. B. Roorda. Dr. Dupont supervised the research and gave information insights during the first months. Dr. Roorda supervised the research throughout the whole period and initiated useful discussions on inflation. Dr. Joosten supervised the research during the last months and gave supportive suggestions on writing a thesis. From Blue Sky Group I would like to give thanks to Drs. P. Bajema, Drs. J.F. van Halewijn and A.A.M. -
Quantitative Easing: Entrance and Exit Strategies
Quantitative Easing: Entrance and Exit Strategies Alan S. Blinder This article was originally presented as the Homer Jones Memorial Lecture, organized by the Federal Reserve Bank of St. Louis, St. Louis, Missouri, April 1, 2010. Federal Reserve Bank of St. Louis Review , November/December 2010, 92 (6), pp. 465-79. pparently, it can happen here. On easing is something aberrant. I adhere to that December 16, 2008, the Federal Open nomenclature here. Market Committee (FOMC), in an I begin by sketching the conceptual basis for effort to fight what was shaping up quantitative easing: why it might be appropriate Ato be the worst recession since 1937-38, reduced and how it is supposed to work. I then turn to the the federal funds rate to nearly zero. 1 From then Fed’s entrance strategy—which is presumably on, with all its conventional ammunition spent, in the past, and then to the Fed’s exit strategy— the Federal Reserve was squarely in the brave which is still mostly in the future. Both strate gies new world of quantitative easing . Chairman Ben invite some brief comparisons with the Japanese Bernanke tried to call the Fed’s new policies experience between 2001 and 2006. Finally, I “credit easing,” probably to differentiate them address some questions about central bank inde - from actions taken by the Bank of Japan (BOJ) pendence raised by quantitative easing before earlier in the decade, but the label did not stick. 2 briefly wrapping up. Roughly speaking, quantitative easing refers to changes in the composition and/or size of a central bank’s balance sheet that are designed to THE CONCEPTUAL BASIS ease liquidity and/or credit conditions. -
Valuation Models of Inflation Derivatives Using Pricing Kernel
Valuation Models of Inflation Derivatives using Pricing Kernel Workshop "Finance and Insurance", Jena (Germany) March 16-20, 2009 Koichi Miyazaki (with Sho Ito) University of Electro-Communications, Dept. of Systems Engineering 1 1. Introduction (Background, Basics and Purpose) 1-1. Origin of the corporate-debt valuation model: Merton (1974), the structural model. Time t Time T (Maturity ) S Case of F T F = K t T Default St WT = 0 Wt Equity : FT = K W = max()S − K ,0 Case of T T S Bond : T Non Default FT = min()ST , K WT The firm’s asset-value process St under physical probability measure P dS = µS dt +σ S dzS S 2 1-2. Extension of the Merton model and our model -Black and Cox (1976) and Geske (1977): incorporate the effects of the coupons and covenants of corporate bonds. Extension in terms of “Cash Flow” -Shimuko, Tejima, and Deventer (1993): incorporate the stochastic interest rate proposed by Vasicek (1977). R dR = κ R − R dt +σ dz Instantaneous nominal interest-rate f : f ( f f ) Rf Rf Extension in terms of “Modeling of nominal interest rate” -Longstaff and Schwarz (1995): incorporating the Vasicek (1977) model into the Black and Cox (1976) model. Extension in terms of “Cash Flow” and “Modeling of nominal interest rate” -Zhou (1997): applies the jump-diffusion process in Merton (1976) to the valuation of corporate debt. dS ω+ηε Nominal company-asset S : = µS dt +σ S dzS + (e −1)dNt . Extension in terms of “Firm Value Process” S z However, to best of our knowledge, no valuation model of inflation derivatives in the structural model. -
Essays in Modelling Mortality Rates
SUBJECT SA0 OF THE INSTITUTE AND FACULTY OF ACTUARIES Colin O’HARE (MMath. D.A.T. C.F.I.) Essays in modelling mortality rates Subject SA0 Advisors: Dr Shane WHELAN (F.F.A., F.S.A., F.S.A.I.) James Joyce Library Building School of Mathematical Sciences Statistics and Actuarial Science University College Dublin Dr Youwei LI (BSc., MSc., PhD(Finance), PhD(Math)) Queen’s University Management School Queen’s University Belfast Riddel Hall Belfast prepared at Queens University Management School Declaration The work of this thesis is my own and where material submitted by me for another degree or work undertaken by me as part of a research group has been incorporated into the thesis, the extent of the work thus incorporated has been clearly indicated Signed ............................................................................... (Candidate) Date ............................................................................... iii Dedication This submission for SA0 of the Institute and Faculty of Actuaries is dedicated to my wife Diane and my daughter Lottie who have put up with my constant ramblings about research, mortality, statistics and data and never once asked me to explain myself. I would also like to dedicate this work to the late Professor William Parry F.R.S. (1934 - 2006), Professor of Dynamical Systems and Ergodic Theory at Warwick Uni- versity whom I knew well in the years between 1996 and 2004. During that very short period he instilled in me enough enthusiasm about the research process that 15 years after graduating from the University of Warwick School of Mathematics, and after a decade working and growing in the actuarial profession as a pension actuary I am able to return to my natural place in academia. -
Valuation Adjustments 6 Ntnze
0 0 ·~rf'J. ·~> ·~Q Q) 8 0 u 0 ~ ~ Q) ~ ·~ ~ t 0 ~ Q) ~ ~ 0 ~ ~ ~ 0 ~ u ~ ·s:t:::: .0 fJl Od 00 b ...... 0 ~ W,o c:: 0 0 co 0 ~ :iQ 0 :::. ·~ @ Ql ~ ~ .;:: ~ $: ~ ~ ~ ~ .D ~ ro Cl) > ~ ~ LBEX-WGM 002234 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS, INC. t""'('l rn~ ~~ ~ti ~~ t:l:i>-l ~> Contents >-lt""" :::r:...., I [/).>~G; :::r:...., 1. Executive Summary 3-5 0~ t""'tn z....,oz @G; "!0 JL Valuation Adjustments 6 ntnze . [/)....., Significant Changes 7 0 Summary 8 ~ Regional Matrix 9 Americas 10- 11 Europe 12-13 Asia 14-15 Monthly Changes 16-17 UL Pricing Report 18 r Explanation of Significant Variances 19-23 m m >< Coverage 24-25 Projects 26-28 :s:~ 0 0 1\.) 1\.) (.,) 0'1 LEHlvfAN BROTHERS 2 t""'('l rn~ ~~ ~ti ~~ t:l:i>-l ~> Executive summary >-lt""" :::r:...., Complex Derivatives Transaction Review Committee [/).>~G; :::r:...., This committee, consisting of Capital Market Finance, Accounting Policy and Model Validation personnel, was set up in April 2005 and meets to 0~ t""'tn consider any significant derivative transactions undertaken. The committee considers whether the transactions are being booked, valued and z....,oz modeled appropriately. Furthermore, the committee determines whether the proper accounting treatment is being applied. During the month, the @G; following transactions were reviewed: "!0 ntnze . [/)....., -----+Emerging Market Loan with FX Call Spread- Lehman loaned ¥6 billion to Astana, a Kazakhstan quasi-sovereign entity. In addition, Lehman entered into a currency swap with Astana to convert the JPY loan into USD. Lehman also purchased a FX call spread from 0 Astana. -
Wiley Finance : Derivatives Demystified : a Step-By-Step Guide
Derivatives Demystified For other titles in the Wiley Finance series please see www.wiley.com/finance Derivatives Demystified A Step-by-Step Guide to Forwards, Futures, Swaps and Options Second Edition Andrew M. Chisholm A John Wiley and Sons, Ltd., Publication This edition first published 2010 C 2010 John Wiley & Sons, Ltd Registered office John Wiley & Sons Ltd, The Atrium, Southern Gate, Chichester, West Sussex, PO19 8SQ, United Kingdom For details of our global editorial offices, for customer services and for information about how to apply for permission to reuse the copyright material in this book please see our website at www.wiley.com. The right of the author to be identified as the author of this work has been asserted in accordance with the Copyright, Designs and Patents Act 1988. All rights reserved. No part of this publication may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, except as permitted by the UK Copyright, Designs and Patents Act 1988, without the prior permission of the publisher. Wiley also publishes its books in a variety of electronic formats. Some content that appears in print may not be available in electronic books. Designations used by companies to distinguish their products are often claimed as trademarks. All brand names and product names used in this book are trade names, service marks, trademarks or registered trademarks of their respective owners. The publisher is not associated with any product or vendor mentioned in this book. This publication is designed to provide accurate and authoritative information in regard to the subject matter covered.