Derivatives
Constant maturity asset swap convexity correction
The current high volatility in government bond markets may lead investors to try to hedge their exposure to floating-asset swap spreads. Mario Pucci obtains an analytical convexity correction for the asset...
Diana Chan talks to Jessica Meek about the operational risks facing CCPs in the current financial landscape
Resignation letter links derivatives trade to moral collapse at bank
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How banks needs to consider their IT infrastructure
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Ability to use custodial accounts worries OTC clearing members
The CFTC has ruled that clients can place margin on cleared OTC trades in third-party custodial accounts – but clearing members say this could slow their ability to access collateral in a default
Asia Risk FX review and outlook 2012
A review of activity in the region’s foreign exchange derivatives markets, alongside a compilation of recent forex awards and rankings results
Vote now in the 2012 Risk Brasil derivatives survey
Risk's annual poll on Brazil's derivatives markets, including interest rates, currency, equity and other categories
Pushing for break-clause capital relief
Banks are looking to get capital relief as a result of break clauses within derivatives contracts - but they will need to convince regulators first, argues Duncan Wood
Margin segregation
As they stand, segregation rules for the cleared over-the-counter derivatives market are a mess. The US Commodity Futures Trading Commission (CFTC) finalised its rules in January, mandating an approach known as legal segregation with operational commingling...
Banks caught in DVA dilemma
Accountants want banks to report as profits the impact of widening credit spreads on their liabilities, but regulators are moving in the other direction. The result could be painful deductions from capital, and two very different sets of incentives
Analytical risk contributions for non-linear portfolios
The value-at-risk of portfolios needs to account for non-linear effects in the loss distribution’s dependence on risk factors. Using the classical Cornish-Fisher expansion, Helmut Lutz and Carsten Wehn derive analytical formulas for risk contributions...
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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How financial services need to consider their IT infrastructure
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