Derivatives
CVA proxying: Nomura's alternative to "flawed" EBA method
The European Banking Authority has proposed a way for banks to calculate a credit valuation adjustment capital charge when credit default swap spreads are absent or illiquid – but it does not solve the...
New Zealand Stock Exchange to launch equity derivatives to meet demand for hedging instruments
Wind the clock back a year, and one of the big concerns for derivatives market participants was that national regulators would fulfil the Group of 20 clearing commitment by insisting that a portion of...
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How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Derivatives articles
Proxy war: Shrinking CDS market leaves CVA and DVA on shaky ground
Harnessing credit and debit valuation adjustments to credit default swaps may have seemed a good idea a few years ago, but as that market shrinks, it is eroding their foundations. Laurie Carver reports
As CDS market shrinks, CVA questions grow
Sometime in mid-2006, the outstanding notional of the single-name credit default swap (CDS) market passed the $15 trillion mark, according to the Bank for International Settlements (BIS). It was on a steep upward trajectory that reached a $33.4 trillion...
Editorial: Asia’s political economy
The shaping force of today's financial markets is politics
Viva Las Vega: Japan banks take advantage of volatility play
Last summer, banks in the Japan structured products market were hit hard by moves in volatility – but some banks saw this as an opportunity to recycle risk to European pension funds
Uridashi losses put at $500 million after Nikkei rebounds
When the Nikkei slumped last May, banks were forced to sell volatility to protect positions built up through the sale of uridashi products – leaving many with losses. A rally in the index at the end of the year inflicted further pain. In total, the...
ABN Amro CPDO panned by Australian judge for ‘deceptive and negligent’...
An extraordinary Australian court judgement shines a light on the errors and deceit that led to the granting of a triple-A rating to ABN Amro’s Surf constant proportion debt obligation in 2006
Gensler: OIS rate could be replacement for Libor
New benchmark must be based on "facts, not fiction", says CFTC chairman
Using market and credit risk analytics to strengthen performance
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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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