Dashing the uridashi dream
Bank has not decided whether to sell its book to other dealers
Firms that trade index and single-name CDSs will see margin requirements increase
The Certificate in Quantitative Finance program provides risk professionals with quant finance tools applicable to their roles, and now offers risk management electives. Join our online info session: 11 June
More Matt Cameron articles
Only registrants to date are MBIA and Cournot Financial Products – firms that have not traded derivatives since 2008
When the Nikkei slumped last May, banks were forced to sell volatility to protect positions built up through the sale of uridashi products – leaving many with losses. A rally in the index at the e...
Deal is said to pay a coupon of 11% for first-loss protection – which some investors say is too low
Preparing to unwind
Given a minute to accept or reject trades for clearing, FCMs warn they will err on the side of caution
The stress of unwinding
Cheaper swaps prices have convinced two more DMOs to sign collateral agreements
Parliament is unhappy with the treatment of corporate end-users, and could require Esma to redraft standards
Trades will not become subject to initial margin rules part-way through their life, rule-making body tells Risk
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.