Four of top five firms in this year's rankings are involved in deals
This special issue of The Journal of Financial Market Infrastructures on collateral provides a collection of papers that are not fully in sync with traditional thinking in policy and academic circles, or are under-researched.
This paper focuses on the use of high-quality assets for collateral purposes.
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Lingling Cao and Pierre Henry-Labordère implement Dupire's local volatility in interest rate models
Monolithic capital markets systems are giving way to microservices, containers and APIs
Bonds could pre-fund CCP default funds and higher margins during market stress, authors argue
EC favours excluding derivatives from MREL and taking French approach to subordination
Buy side turning to ETFs and CDSs to meet exposure targets, switching them for bonds later on
Brexit adds impetus for the decentralisation of booking hubs to Asia
Andrei Soklakov shows how to incorporate traditional investment ideas and clients’ views into structured product design
Wujiang Lou extends liability-side pricing theory to initial margin
Global banks advance in the scramble for supremacy
Buy side says cleared or listed products fail to meet their needs
Bank's continuation of Sonia could jeopardise shift to secured rate as Libor replacement
"I would be very much in favour of the concept of a Pillar 2 for CCPs", says CPMI chair
Fed stress tests push US banks towards charging CVA for cleared derivatives
Chicago Fed researchers point to problems around issue of concentration margin
Former BrokerTec chief says technology can transform the financial markets
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This issue explores the practicality of the CVaR measure as a criterion for portfolio selection, and also discusses wavelet analysis for portfolio selection and currency option pricing.
This paper derives a closed-form version of a model with a trend-stationary, stochastic volatility exchange rate, using both a linear and quadratic trend.
Bankruptcy law reform could prompt a shift in attitude at State Bank of India
Simplicity is welcome – up to a point