Derivatives
Zombie firms are first Dodd-Frank major swap participants
Only registrants to date are MBIA and Cournot Financial Products – firms that have not traded derivatives since 2008
Asset Liability Management
Thailand insurers shun interest rate derivatives for RBC liability hedging...
Derivatives and structured products remain unpopular with Thai insurers looking to hedge their liabilities following the introduction of a risk-based capital framework
Debit valuation adjustments are becoming well understood for derivatives and liabilities – but can affect the asset side of the balance sheet too. Specifically, assets such as so-called goodwill depend...
Don't get left behind
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
Robust hedging of withdrawal guarantees
Withdrawal guarantees ensure the periodic deduction of a constant dollar amount from a fund for a fixed number of periods. If the fund is depleted before the last withdrawal, the guarantor has to finance the difference. Andreas Kunz derives a robust hedging...
Wrong-way risk, credit and funding
The risk of exposure and counterparty default probability both increasing – so-called wrong-way risk – is usually understood in terms of the correlation between the two variables. But this approach is focused more on the centre of the distribution,...
Risk & Energy Risk commodity rankings 2013: Metals
In a torrid year for metals traders, Société Générale retained pole position in base metals, with UBS again leading the way in precious metals. Tom Newton reports
Risk & Energy Risk commodity rankings 2013: Energy
Muted volatility, sluggish trading activity and regulatory changes have conspired to create a tough environment for energy market participants over the past year. That has fuelled a lot of movement in this year’s Risk and Energy Risk commodity rankings....
US tax proposal targets derivatives' 'phantom income'
A tax proposal from the US House of Representatives would raise taxes for individual investors on their derivatives holdings
Proposed derivative restrictions for Singapore insurers to have a limited...
New MAS proposals to unify investment guidelines for all insurers, and in doing so limit derivatives usage, will not affect existing investment policies for insurance firms
Rational shapes of local volatility
The asymptotic behaviour of local volatility surfaces for low and high strikes – the so-called wings – is important in option pricing and risk management. Stefano De Marco, Peter Friz and Stefan Gerhold show certain models allow for the derivation...
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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What’s next for fixed-income ETFs and structured products?
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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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