Andrei Soklakov presents a product design theory that incorporates Bayesian information processing and risk aversion
BP restructures long-dated hedge for commercial player
NFA said to have set 10-day standard; other regulators applying different approach
If the required new risk factors are not added on time, firms may face a more punitive look-up grid
Rival initiatives aim to standardise documentation for repackaged bond investors
This paper provides insights into the increased demand for collateral, the reduced capacity for banks to act as collateral intermediaries and examples of risks and vulnerabilities in collateral flows.
Wujiang Lou introduces a reserve capital approach to the hedging error in the BSM model
Market split on whether MTA applies at the client or account level
Sponsored survey analysis: Calypso Technology
Several obstacles limiting potential growth, say plastics market participants
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.
Sponsored webinar: Calypso and Quaternion
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