Interest rate derivatives
CMS: covering all bases
Original headline:
Source: Life & Pension Risk
Simon Cedervall and Vladimir Piterbarg develop a new vanilla model that directly links constant maturity swap (CMS) and payment convexity in general payouts to volatilities of swaptions of all relevant...
Original headline:
Source: Risk magazine
The sensitivity of single-rate derivatives to implied volatility is traditionally only considered with respect to the underlying fixing, in effect collapsing the term structure to a point. But a full set...
Original headline:
Source: Risk magazine
Simon Cedervall and Vladimir Piterbarg develop a new vanilla model that directly links constant maturity swap (CMS) and payment convexity in general payouts to volatilities of swaptions of all relevant...
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Dealers tackle euro redenomination risks
Original headline:
Source: Risk magazine
Dealers have been busy war-gaming eurozone break-up scenarios in recent months. But one of the most complex, and uncertain, areas is what would happen to derivatives contracts in the event one or more member states leave the eurozone. By Matt Cameron...
Interest rate derivatives house of the year: Deutsche Bank
Original headline:
Source: Risk magazine
Well-timed trades can appear lucky – hindsight revealing that a decision to buy or sell coincided precisely with a market trough or peak. On the other hand, it’s often said that luck is self-made – the decision is informed by some conviction or...
CME and IDCG revalue swaps using OIS discounting
Published online only
Source: Risk magazine
Switch to OIS comes a year after SwapClear revalued parts of its portfolio
Risk interdealer rankings 2011: Dealers
Published online only
Source: Risk magazine
Dealers enjoyed a bright start to the year but endured a slow second quarter and a savage start to the third as political wrangling over European and US debt contributed to a surge in volatility and risk aversion. For the third year in a row, Deutsche...
The CCP race is on down-under
Original headline:
Source: Asia Risk
Australia’s financial regulators are leaning towards mandatory clearing for the local interest rate derivatives market – and may conclude that any central counterparty that serves the market has to be based locally. Two firms are vying to be the dominant...
Taiwan's Gretai Securities Market to set up trade repository
Published online only
Source: Asia Risk
Taiwan's Financial Supervisory Commission wants Gretai Securities Market to run an OTC trade repository for all asset classes. The move comes as large dealers fear a proliferation of new repositories in Asia will place an undue reporting burden on their...
Structured credit landscape revives the basics
Original headline:
Source: Structured Products
Once blooming with complex products and strategies that aimed to capture the highest returns possible, the structured credit landscape is rebuilding itself to find its place again within the investment universe. Sarah Nowakowska reports on how the move...
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