A combination of hard work, caution and some luck saw the industry through the second of the three US clearing deadlines on June 10. But while it was a triumph for many, it proved testing for some. Joe...
Ratio could be a 'game-changer', dealers warn, as Basel Committee proposes counting received collateral as well as derivatives exposures
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
The Basel Committee decided earlier this year to include collateral outflows arising from changes in derivatives values in bank liquidity requirements. Their suggested approach, however, has worried some in the industry. By Michael Watt
Some banks believe capital is - or will be - needed to support guarantees to clients
The move towards OIS discounting is proving difficult enough for banks in US and European markets but firms in Asia are facing the added difficulty of a dealing with multiple currencies
Palm oil hedging has continued to grow healthily in the face of wild price swings over the past 18 months. But there is still no viable Indonesian contract, leaving the industry exposed to basis risk from the world’s biggest producer
Quasi-Gaussian or Cheyette interest rate models provide derivatives desks with solutions to some of the Libor market model’s problems in an explicitly Markovian representation. Here, Messaoud Chibane and Dikman Law introduce a local volatility extension...
Skew and curvature of volatility smiles are not only difficult to estimate, but also poorly reproduced by most smile expansions. Jean-Philippe Bouchaud, Lorenzo De Leo, Vincent Vargas and Stefano Ciliberti propose an expansion that effectively captures...
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