Collateralisation
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...
The crisis abolished the risk-free rate, and brought the role of credit support annexes to the fore in derivatives pricing. Paul McCloud develops the general pricing framework that allows the convexity...
Repo has played a much smaller role in Asian financial markets than in their European and US peers but the combination of regulatory and market incentives means this is set to change
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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 Collateralisation articles
Sidecar capacity set to grow as capital market investment increases
Third-party solutions increasingly sought by firms seeking reinsurance and retrocession
Interest rate derivatives house of the year: Goldman Sachs
As 2012 drew to a close, Goldman Sachs was involved in the first trades using the new standardised credit support annex (CSA), a document that had been in the works for two years. That was entirely appropriate. Goldman played an active part in the design...
Best in Switzerland
Bank Vontobel From August of this year, Bank Vontobel began the process of establishing a multi-issuer platform through which investors can buy products not only issued by Vontobel, but also from a range of other issuers in partnership with the Swiss...
In defence of FVA - a response to Hull and White
The funding valuation adjustment traders have been adding to derivatives prices since bank funding costs first blew out in 2008 has proved controversial, putting theory and practice at odds with one another. Royal Bank of Scotland’s Stephen Laughton...
Traders close ranks against FVA critics
Derivatives desks have been passing along funding costs for uncollateralised trades since bank spreads blew out in the crisis. But a funding-dependent price is subjective – and this is intolerable to some quants and risk managers. A heated debate is...
Cutting Edge introduction: Followers of fashion
Focusing on how often a trading strategy ends on the winning side can distract from the question of whether it profits on average. The key is in the return distribution’s skew – and at least for trend-following strategies this can be directly controlled....
Risk 25: How Basel III is turning borders into barriers
Increasing prices on cross-currency swaps as a result of Basel III’s credit value adjustment charge are making it harder for companies to issue bonds overseas – this is just one example of the fragmentation of global capital markets
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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