Derivatives
Bafin weighing CVA charge despite European exemptions
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
Using market and credit risk analytics to strengthen performance
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US expected to take third way on CVA charge
Federal Reserve will not mirror European exemptions but could instead modify treatment of CVA and market risk hedges, industry sources say
LPI swaps with a smile
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...
EU financial transaction tax may drive Asian banks away from European...
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
Financial transaction tax will harm Europe’s banks in Asian derivatives...
The draft form of the EU's proposed financial transactions tax is 'unworkable' for European firms operating in Asia
Special report: Asean
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Bilateral CVA of optional early termination clauses
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,...
Variable annuity products must avoid the derivatives witch hunt
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...
How can investment banks use grid technology?
Learn how technology is enhancing risk management
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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What’s next for fixed-income ETFs and structured products?
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The OTC Derivatives Markets Conference
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Risk USA
USA, 21st - 24th Oct 2013
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Using market and credit risk analytics to strengthen performance
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