Derivatives
US-European divergence over default funds
New regulatory standards require central counterparties (CCPs) to have robust processes in place to mitigate counterparty credit risk exposures. Risk management models must optimally determine the relative...
The G-20 had hoped the reporting of OTC derivatives trades would give regulators an opportunity to spot the build-up of systemic risk. But domestic reporting requirements, a lack of standard data formats...
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How banks needs to consider their IT infrastructure
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Bilateral CVA of optional early termination clauses
The value of early termination clauses in derivatives depends crucially on the type of close-out value used and on the counterparty risk, and embeds optionality in even the most vanilla swap contracts. In the case of the so-called risk-free close-out,...
Data shows OTC notionals shrank as clearing started in US
When a small group of firms became subject to the first US clearing mandate in March, outstanding notionals for clearing-eligible products temporarily dipped. With a larger group of firms set to start clearing in June, could it be a sign of things to...
China onshore OTC clearing postponed until 2014
OTC clearing onshore in China will be delayed until at least the end of 2013 or early 2014 according to an official at Shanghai Clearing House
Cutting Edge introduction: The collateral currency convexity problem
Casual assumptions can be seductive – but wrong. An examination of what is sometimes taken for granted can yield surprising results, as a new article on collateral currency shows. Laurie Carver introduces this month’s technical section
Cross-currency flap leaves cloud over IFRS 9
Firms used to be able to throw anything they liked into the hypothetical derivative that is used to test cashflow hedge accounting, but standard-setters are embracing a purer approach. It has already caused a furore over cross-currency basis spreads,...
Standardised OTC swaps spice up futurisation fight
Last month saw the launch of a template for a new standardised interest rate swap product – an attempt to protect swap market liquidity from the threat of futurisation. The first product based on the template could be launched within weeks, but even...
CNH Hibor fixing to spur interest rate swap market
Launch of the CNH Hibor to lead to an increase in CNH loans and hedging instruments such as floating rate notes and interest rate swaps
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.
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Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
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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