New end-of-day benchmark is "much harder to manipulate" than industry standard IsdaFix
Final WGMR rules allow collateral on uncleared derivatives to be rehypothecated under strict conditions, but lawyers say they are unclear on how the rules will work in practice
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A fragmented view
Just over half of dealer respondents to a Risk survey believe post-crisis rules are constraining their ability to make markets
Dealers are looking to consolidate desks that manage adjustments for credit, debit and funding valuation
In this video discussion, Duncan Wood, editor of Risk, talks to Nick Sawyer, Risk’s editor-in-chief, about attempts to price in a replacement valuation adjustment on derivatives trades
US dollars in short supply as rupee tumbles
Expected payoff maximisation is a commonly assumed strategy in valuation. S Hossein Hosseini, Qiaoyan Bian, Jay Chen and John Jiang suggest that execution strategies may vary due to complex option s...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.