Federal Reserve will not mirror European exemptions but could instead modify treatment of CVA and market risk hedges, industry sources say
It’s the untold story of the switch to overnight indexed swap discounting. As the Street haltingly adjusted to the new reality, some desks are said to have booked profits running into the hundreds of...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Derivatives articles
Institutions are creating demand for Topix options, outweighing supply
The benchmark stochastic alpha beta rho model for interest rate derivatives was designed for an environment of 5% base rates, but its traditional implementation method based on a lognormal volatility expansion breaks down in today’s low-rate and high-volatility...
The spread between Libor and overnight index swap rates used to be negligible – until the crisis. Its behaviour since can be explained theoretically and empirically by a model driven by typical lenders’ liquidity and typical borrowers’ credit risk....
Facing pressure from domestic producers and chronic pollution, China's authorities are considering clamps on low grade coal imports – potentially increasing swap activity
Institutional demand for Topix options outweighs supply and is creating basis risk for dealers hedging their positions
In the US, banks with more than $10 billion in assets will be required to clear from June 10 – and the smallest of these institutions may not be attractive clients. Some are struggling to be ready in time, but others have shown it can be done. By Joe...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
UK, 18th Dec 2013
UK, 12th Feb 2014
UK, 13th Feb 2014
UK, 19th - 20th Feb 2014
Germany, 25th Feb 2014
Updating your subscription status
Risk iPad and iPhone Apps