Interest rate derivatives
Pre-trade price transparency in IRS satisfactory – Isda survey
Current levels of pre-trade price transparency in interest rate swaps (IRS) are acceptable, according to an end-user survey conducted by the International Swaps and Derivatives Association.
The financial crisis multiplied the yield curves used to price interest rate derivatives, making traditional no arbitrage pricing no longer valid. By taking into account the basis adjustment bootstrapped...
SGX president Muthukrishnan Ramaswami says the new interbank OTC clearing service for SGD and USD interest rate swaps will target Asian banks as a start, and soon global investment banks that trade with...
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.
More Interest rate derivatives articles
Two curves, one price
The financial crisis multiplied the yield curves used to price interest rate derivatives, making traditional no arbitrage pricing no longer valid. By taking into account the basis adjustment bootstrapped from market basis swaps and using a foreign currency...
Derivatives growth slowed over crisis, BIS finds
Growth was flat in several interest rate and forex derivatives categories between 2007 and 2010
FSC clamps down on unsecured lending while bolstering Korean repo market...
Reform to broaden the use of the onshore repo market in South Korea is expected to help smaller banks and financial institutions better manage their short-term funding and reduce systemic risk. It should also facilitate the development of interest rate...
Asia Risk 15: A steep learning curve for interest rate derivatives
Asia’s interest rate markets have matured significantly during the past 15 years and now offer a full array of onshore and offshore hedging and investment options to end-users. Georgina Lee reports
Asia Risk 15: Interdealer brokers in quest for deeper liquidity
Interdealer brokers have continued to build ever-deeper pools of liquidity in Asian markets as they have forged profitable businesses from Asia’s fragmented economies. While moves to electronic platforms are gaining momentum, relationships are still...
Surviving the liquidity squeeze
Excess liquidity in the euro funding markets halved at the beginning of July, causing Eonia to leap higher. The extent of the move surprised traders and caused problems for some participants. Christopher Whittall reports
ECB may extend full allocation tenders into 2011
Any withdrawal of liquidity by the ECB at year-end would cause major uncertainty, say bankers
How can investment banks use grid technology?
Learn how technology is enhancing risk management
Technology can provide a competitive advantage in banking. How it is applied by Tier 1 and Tier 2 institutions, to the benefit for their risk management systems, is discussed.
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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
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
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