Supervisors ‘should accept the legislation that the council and the parliament in their wisdom have decided upon’, warns MEP
Industry undecided on whether own cost of funds or an industry average funding spread should be used
Standard-setter decides trades can still qualify for hedge accounting when voluntarily novated to a CCP, but experts warn wider stance on novation could cause trouble
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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Inflation models tend to be poor at capturing the high sensitivity of Limited Price Index (LPI) swap payoffs to year-on-year smiles and correlations, and consequently miss market quotes. Yann Ticot and Xavier Charvet propose a simple framework for pricing...
Eleven EU states have agreed to implement a harmonised financial transaction tax, due to begin in January 2014. The tax has a huge extraterritorial reach, posing serious questions about its impact on Asia
The draft form of the EU's proposed financial transactions tax is 'unworkable' for European firms operating in Asia
The value of early termination clauses in derivatives depends crucially on the type of close-out value used and on the counterparty risk, and embeds optionality in even the most vanilla swap contracts. In the case of the so-called risk-free close-out,...
Warren Buffet once famously described derivatives as “financial weapons of mass destruction”. The ‘Sage of Omaha’, in one of his annual letters to shareholders in his Berkshire Hathaway company, described derivatives as “time bombs”, both...
Technology can provide a competitive advantage in banking. How it is applied by Tier 1 and Tier 2 institutions, to the benefit for their risk management systems, is discussed.
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