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...
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...
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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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...
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...
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...
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...
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...
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
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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