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
Sponsored video: Eurex Clearing
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
Isda AGM: dealers fear pre-trade transparency could lead to front-running of hedges
This paper looks for optimal explicit constructions and empirical tests in regards to pricing and hedging derivatives with coherent risk measures.
AQR says its managed futures fund could suffer larger drawdowns under new rule
Counterparties will be able to offset extra collateral calls, says source close to EBA
Negative swap spreads forcing hedgers to look for alternative instruments
Non-EU derivatives contracts will have to be amended, say lawyers
Bank’s new methodology has been used by some rivals for more than a decade
Initial margin is the best source of liquidity for CCPs in a crisis, argues Irish central banker
Capitalab removes €1.3 trillion notional, cutting capital requirements
European Parliament and UK regulator push for carve-out, but industry unimpressed
Tool to allow for legacy contract amendments in case of OIS rate change
Joined-up effort to tackle XVAs reflects growing impact of derivatives valuation adjustments
Bank of Japan policy adds to domestic banks’ dollar funding dilemma
Dealers say Korean autocall pain subdued as volatility stays low