The economic value of derivatives is influenced by funding costs, because the costs imply windfalls or shortfalls to bondholders on a bank’s default. But the resulting adjustments depend not just on...
Cheaper swaps prices have convinced two more DMOs to sign collateral agreements
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
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It’s no surprise to find that Société Générale Corporate & Investment Banking (SG CIB) was involved in a large, long-dated equity repo transaction with a US bank last year. What is more surprising is that the French bank was the counterparty lending...
Liquidity hedge plan was shelved after Risk article generated criticism. Now it's back, but as an exchange-traded fund
Clearing houses can call for margin multiple times a day to protect against wild markets. But the burden of meeting those calls will initially fall on member firms – potentially creating a source of severe funding stress. By Matt Cameron
Risk first wrote about suspicions that Libor rates were being rigged in January 2008 – three months before the Wall Street Journal article that is widely credited with breaking the story (Risk January 2008, pages 74–76). The key elements were all...
Banks are holding more retail deposits and also paying more for them – a recipe for reduced funding risk but also reduced profitability. Wei Ke, Ben Snowman, Ada Pham and Jens Baumgarten argue banks can mitigate the latter effect by analysing customer...
No going back from FVA, says Imperial College professor – and other speakers at the conference agreed
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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