An expected rise in interest rates will leave many entities facing hefty collateral calls, potentially creating a liquidity squeeze. Goldman Sachs has worked to help clients deal with this potential problem...
Last year was a landmark for the derivatives reforms laid out by the Group of 20 nations in 2009, with clearing, trading and reporting rules all coming online in the US. But it was also just the start...
Handicapped by tighter regulations, banks have ceded derivative market-making share to oil majors such as BP and Shell
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Typical implementations of the stochastic alpha beta rho model involve asymptotic expansion approximations, which can generate inaccurate prices for long-dated options. But directly solving a pricing partial differential equation incurs high computational...
Collateral agreements and funding costs affect derivatives prices through discounting and adjustments. But if the borrowing and lending rates aren’t equal, the situation becomes even more complicated. Fabio Mercurio shows that buy and sell prices diverge,...
Operational risks, funding valuation adjustment and the money made by one dealer in the early days of OIS discounting – the top stories of the year on Risk.net
Execution agreements that have taken years of work cannot be used on Sefs - and a big change is needed if they are to survive at all
News will "come as a surprise" to market participants - and also the UK's FCA, which has misinterpreted Esma rules on its website
Overproduction and resulting lower prices could spur development of nascent sector
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.
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