Interest rate derivatives
London-based clearing house may consider helping to build OIS markets in minor currencies, as it continues to move its interest rate swap portfolio to OIS discounting
Profits at banks in Singapore issuing mortgages and loans based on SOR may be severely dented as the rate turned negative for the first time last week and is predicted to remain this way in the medium...
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Interest rate derivatives articles
Australia’s financial regulators are leaning towards mandatory clearing for the local interest rate derivatives market – and may conclude that any central counterparty that serves the market has to be based locally. Two firms are vying to be the dominant...
At least 12 lawsuits alleging manipulation of Libor have been filed since April, and six different authorities – including the US Department of Justice – are investigating. But how would manipulation work in practice, and is there any evidence of...
Alexandre Antonov and Michael Spector present an analytical approximation of zero-coupon bonds and swaption prices for general short-rate models. The approximation is based on regular and singular expansions with respect to low volatility and contains...
Corporates operating in the Asia-Pacific region have faced dramatic increases in many domestic currencies versus the US dollar, and large disparities between domestic and developed world interest rates during the past 12 months. Against this backdrop...
$601 trillion notional OTC figure reduced to $0.9 trillion gross value after netting, collateral
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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