Derivatives
Lack of long-dated instruments hampering offshore RMB market
A strong demand for long-dated offshore RMB instruments is not being met by the market, according to one Hong Kong corporate
Supervisors should not be able to force clearing houses to accept certain classes of OTC derivative, says FOA's Belchambers
Walter Lukken, chief executive of pioneering clearing house NYPC - and former CFTC commissioner - replaces John Damgard, FIA head of 30 years
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
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.
More Derivatives articles
Solvency II asset charges will not stop insurers funding banks
Solvency II is expected to lead to changes in insurers’ investment strategies. Janko Gorter and Melle Bijlsma argue that the effects on the financial markets and the real economy may not be as significant as some have suggested
Perturbed Gaussian copula: introducing the skew effect in co-dependence...
Gaussian copula models are often used in the industry when single-asset information is quoted but little is known about their joint relation. These models may arise from correlated stochastic Brownian processes with deterministic volatility and correlation....
Being particular about calibration
Following previous work on the calibration of multi-factor local stochastic volatility models to market smiles, Julien Guyon and Pierre Henry-Labordère show how to calibrate exactly any such model. Their approach, based on McKean’s particle method,...
Risk.net: Top 15 stories of 2011
Derivatives pricing, collateral and Basel 2.5 and Basel III are the most read stories of 2011
New Zealand: a step in the right direction
A new draft version of New Zealand’s Financial Markets Conduct Bill was published for consultation in August. The bill provides greater clarity than the previous draft and removes uncertainty – but some further tweaks are needed, says Cindy Leiw of...
Funding cost adjustments for derivatives
A paper discussing the relationship of the funding cost adjustment to the balance sheet and demonstrating two ways in which the funding cost adjustment can be eliminated
CFTC’s Chilton: lessons learnt from MF Global
MF Global “new poster child for the need for thoughtful regulation" that must be "proactive, nimble, quick", says CFTC’s Chilton
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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Quant Congress USA
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Liquidity and Funding Risk
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The OTC Derivatives Markets Conference
UK, 26th Sep 2013
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Risk USA
USA, 21st - 24th Oct 2013
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Enterprise Risk Management Techniques and Practices
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Enterprise Risk Management Techniques and Practices
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Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
- How customer-centric transformation can lead to an increase in revenue and streamline operations
- Flexible technology needed to respond to regulatory change
- Anti-Money Laundering when transaction monitoring is not sufficient
- Fraud Intelligence Analysis: Identifying, investigating and disrupting financial crimes
- Don’t get left behind – how financial services need to consider their IT infrastructure
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