Derivatives
Spot USD/CNH fixing in HK poised to become derivatives benchmark
Hong Kong interbank participants have created the first US dollar to offshore renminbi price fixing giving the city first-mover advantage in becoming an offshore centre for renminbi products such as derivatives,...
Derivatives accounting proposals abandoned to relief of dealers - but move deals a blow to hopes of convergence between US standards and IASB
In the context of a stochastic local volatility model, Jesper Andreasen and Brian Huge present a numerical solution scheme that achieves full consistency between calibration, finite difference solution...
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How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Derivatives articles
Repricing the cross smile: an analytic joint density
Derivatives contracts on multiple foreign exchange rates must be priced to avoid arbitrage by contracts on the cross-rates. Given the triangle of smiles for two underlyings and their cross, Peter Austing provides an analytic formula for a joint probability...
Marking systemic portfolio risk with the Merton model
The downside risk of a portfolio of assets is generally substantially higher than the downside risk of its components. In times of crisis, when assets tend to have high correlation, the understanding of this difference can be crucial in managing the systemic...
Dodd-Frank extraterritoriality will hurt US banks – Risk.net poll
More than two-thirds of respondents think the long arm of Dodd-Frank will put US banks at a competitive disadvantage
JPM’s Zubrow: US margin rules 'will kill our overseas swaps activities...
US banks will be shut out of the market for uncleared derivatives, says JP Morgan's chief risk officer
Risk & Return Brasil: Supervisors need to be more curious, says Maia
Authorities should put less faith in numbers and what they are told by banks, says top Brazilian supervisor
Energy Risk's Derivatives House of the Year Award: BNP Paribas
This year's Derivatives House of the Year award goes to BNP Paribas for the growth of its commodities business over the past 18 months, its involvement in several key commodity deals and its particular successes in building up its hedge funds, sovereign...
Deutsche Bank merges OTC and listed clearing businesses
Deutsche restructures clearing initiatives in response to global regulatory push towards OTC derivatives central clearing
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.
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Risk OTC Derivatives Clearing Summit
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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.
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