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
The Certificate in Quantitative Finance is a global quant program that focuses on teaching practical quant techniques used in risk management.
Join us online to learn more: 11 December
More Derivatives articles
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...
Abuse of power?
Temporary rules for portfolio margining by clients are set to expire in December. Hedge funds say they will stay on the sidelines until they know what happens next
A change in CFTC rules could lead to clearing members having to increase default fund contributions at CME and other US CCPs
HM Revenue & Customs "does not wish to discourage" client clearing business, which is caught by UK balance sheet tax
Liquidity and political risk considerations hinder Thai rice producers' attempts to hedge out looming downside risk
Easing of documentary requirements increases onshore renminbi hedging
Baringa Partners survey suggests firms may struggle to cope with European financial regulation
Eleven CCPs say they will apply to Esma for approval – sparing European members a capital hit – but Canada's CDCC has no plans to go through the process
Third-party collateral requirements not acknowledged in current standard clearing broker contracts
Two different sets of master agreements cause stalemate between banks and securities firms
Are insurers prepared for central clearing of OTC derivatives?
Multi-dealer platforms have to register as Sefs - but clients could choose to use other venues and avoid extra legal work
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.