Derivatives
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...
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,...
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...
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
Downgrade termination costs
Ratings-based (RB) additional termination event (ATE) clauses in International Swaps and Derivatives Association agreements can have a significant impact on the valuation of derivatives portfolios when rating events occur. Fabio Mercurio, Roberto Caccia...
Banks want derivatives collateral included in LCR
Received collateral is currently counted towards the liquidity reserve at some large banks, but should not be included in the LCR, say sceptics, who argue the assets can't be relied upon
OCC: equity derivatives to get a cross-margin service
Margin efficiency is going to be key to both listed and OTC derivatives markets, but the equity market has been lagging - a result of regulatory opacity. Michael Watt talks to Mike McClain, executive vice-president and head of business development and...
ETFs: moving beyond the synthetic-versus-physical debate
The past year has seen the exchange-traded funds industry plagued by discussions about the relative complexity of synthetic and physical ETFs. Will the newly published European Securities and Markets Authority guidelines on the products put the matter...
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...
Hybrid correlation matrices
Integrating available implied volatility data into a historical correlation matrix is an essential part of calibrating a Monte Carlo credit value adjustment pricing simulation at the portfolio level, but can yield nonsensical results. Someshwar Roy and...
Swaps push-out a 'vast overreaction', says OCC's Walsh
Section 716 of the Dodd-Frank Act is based on a misperception of OTC derivatives, says acting OCC head - who also acknowledged criticism of US uncleared margin proposals
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.
Related conferences
-
What’s next for fixed-income ETFs and structured products?
UK, 3rd Jul 2013
-
Quant Congress USA
USA, 17th - 19th Jul 2013
-
Liquidity and Funding Risk
UK, 24th - 25th Sep 2013
-
The OTC Derivatives Markets Conference
UK, 26th Sep 2013
-
Risk USA
USA, 21st - 24th Oct 2013
Related training
-
Nexus-Risk Training
Canada, 21st - 16th Oct 2013
-
Managing Risks in Foreign Exchange
UK, 19th - 20th Jun 2013
-
Selecting and Designing Effective KRIs
USA, 19th - 20th Jun 2013
-
Enterprise Risk Management Techniques and Practices
Singapore, 29th - 30th Jul 2013
-
Enterprise Risk Management Techniques and Practices
USA, 5th - 7th Aug 2013
Updating your subscription status 
Risk IPad Apps
Email alerts
Weekly poll
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.
- Don’t get left behind – how financial services need to consider their IT infrastructure
- Rebuilding Customer Trust in Retail Banking
- 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
Related Jobs
