Derivatives
Singapore NDF probe hits market liquidity
The non-deliverable forward forex market last year fell under suspicion of the same rate-rigging that affected Libor and Sibor, and the fallout threatens to stifle liquidity and limit Asean forex hedging...
Different block trading thresholds for economically equivalent swaps and futures could hand exchanges a decisive advantage in the ongoing futurisation fight. But some market participants argue the disparity...
The first clearing mandates came into force in the US on March 11, but there is still plenty of uncertainty about how certain parts of the new regulatory framework will function. In this roundtable discussion,...
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More Derivatives articles
Swap regulations hold key to future of OTC algorithmic trading
The arrival of central limit order books in the interest rate swap market has opened the door to algorithmic trading – but only a little. Its future depends on how the over-the-counter market evolves. By Peter Madigan
Basel Committee seeks netting-friendly replacement for CEM
Consultation on alternative to much-criticised current exposure method could start in June
CDSs, CVA and DVA – a structural approach
Counterparty risk is difficult to include systematically in credit default swap pricing. Reviving Merton’s structural approach – and generalising to higher dimensions – makes it tractable. By Alex Lipton and Ioana Savescu
Breaking break 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,...
Risk Annual Summit: CVA exemptions could backfire, panel warns
Hedges will attract capital instead of providing capital relief, argues Citi exec
The implications of Emir and Dodd-Frank for Asia’s CCPs
Prescriptions within Emir and Dodd-Frank over the use of third-country clearing houses could drive European and US players out of Asia derivative markets – with a potentially negative impact on liquidity
Rabobank pulls plug on equity derivatives business
Bank has not decided whether to sell its book to other dealers
Using market and credit risk analytics to strengthen performance
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Using market and credit risk analytics to strengthen performance
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How financial services need to consider their IT infrastructure
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