Derivatives
LPI swaps with a smile
Inflation models tend to be poor at capturing the high sensitivity of Limited Price Index (LPI) swap payoffs to year-on-year smiles and correlations, and consequently miss market quotes. Yann Ticot and...
The aspiration to globally aggregate OTC derivatives data to determine systemic risk remains a distant dream
As agency approves long-awaited final rules on Sefs, CFTC staff say they could strip exchanges of freedom to set futures block thresholds
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How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Derivatives articles
Uridashi knockouts push Japan dividend futures to outperform Nikkei
Inverted yield curve provides rich pickings for investors
US-European divergence over default funds
New regulatory standards require central counterparties (CCPs) to have robust processes in place to mitigate counterparty credit risk exposures. Risk management models must optimally determine the relative mix of initial margin and default fund contributions...
Data fragmentation hampers oversight
The G-20 had hoped the reporting of OTC derivatives trades would give regulators an opportunity to spot the build-up of systemic risk. But domestic reporting requirements, a lack of standard data formats and local privacy laws are preventing supervisors...
Special report: Asean
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Bilateral CVA of optional early termination clauses
The value of early termination clauses in derivatives depends crucially on the type of close-out value used and on the counterparty risk, and embeds optionality in even the most vanilla swap contracts. In the case of the so-called risk-free close-out,...
Data shows OTC notionals shrank as clearing started in US
When a small group of firms became subject to the first US clearing mandate in March, outstanding notionals for clearing-eligible products temporarily dipped. With a larger group of firms set to start clearing in June, could it be a sign of things to...
China onshore OTC clearing postponed until 2014
OTC clearing onshore in China will be delayed until at least the end of 2013 or early 2014 according to an official at Shanghai Clearing House
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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Risk OTC Derivatives Clearing Summit
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Risk and Return Brasil - Portuguese
Brazil, 12th Jun 2013
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Risk & Return Brazil - English
Brazil, 12th Jun 2013
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What’s next for fixed-income ETFs and structured products?
UK, 3rd Jul 2013
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Active Risk Management in the Treasury
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Using market and credit risk analytics to strengthen performance
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How financial services need to consider their IT infrastructure
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