Libor
Inflation derivatives house of the year: Royal Bank of Scotland
Original headline:
The inflation derivatives market is characterised by long-dated trades, big notional sizes, a lack of liquidity and – where corporate clients are involved – a lack of collateral. In other words, it...
Original headline:
Disputes over the valuation of collateralised derivatives trades have pushed the industry to develop a new standard credit support annex. A solution has been proposed – but some Asian and Australian...
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Derivatives pricing, collateral and Basel 2.5 and Basel III are the most read stories of 2011
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More Libor articles
Review of 2011: collateral, capital and chaos
Original headline:
Whether pricing a plain vanilla swap or agreeing to raise the US debt ceiling, apparently simple acts proved surprisingly difficult this year. Risk magazine staff look back at some of the year’s big stories
CME and IDCG revalue swaps using OIS discounting
Published online only
Switch to OIS comes a year after SwapClear revalued parts of its portfolio
SwapClear may assist OIS development
Original headline:
London-based clearing house may consider helping to build OIS markets in minor currencies, as it continues to move its interest rate swap portfolio to OIS discounting
Libor manipulation lawsuits hit banks
Original headline:
At least 12 lawsuits alleging manipulation of Libor have been filed since April, and six different authorities – including the US Department of Justice – are investigating. But how would manipulation work in practice, and is there any evidence of...
Pricing, Basel, Paulson & Co: the top stories of 2011 so far
Published online only
A review of the top Risk.net stories during the first half of 2011
Hearing on Libor class action venue due
Published online only
US dollar Libor banks could find out details of a class action lawsuit against them as early as August
Libor fix?
Original headline:
At least 12 lawsuits alleging manipulation of Libor have been filed since April, and six different authorities – including the US Department of Justice – are investigating. But how would manipulation work in practice, and is there any evidence of...
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