Libor
Bank of England’s Tucker asks to appear before Libor inquiry
BoE deputy governor asks to appear “as soon as possible” following calls for the Bank to explain Diamond conversation
Barclays COO and long-time derivatives industry figure steps down hours after resignation of chief executive Bob Diamond
We discuss the issues involved in an efficient computation of the price and sensitivities of Bermudan exotic interest rate derivatives in the cross-currency displaced diffusion LIBOR market model. Improvements...
Don't get left behind
How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Libor articles
Efficient and accurate log-Lévy approximations of Lévy-driven LIBOR...
The LIBOR market model is very popular for pricing interest rate derivatives but is known to have several pitfalls. In addition, if the model is driven by a jump process, then the complexity of the drift term grows exponentially fast (as a function of...
Libor manipulation lawsuits could cost banks ‘tens of billions’
Barclays' $450m settlement gives lawyers smoking gun evidence of attempts to tamper with benchmark rates
CFTC’s Chilton: Libor manipulation attempts ‘serious and significant’...
CFTC orders Barclays to pay a $200 million penalty. Commissioner Bart Chilton says agency is "vigorously looking at individuals"
JVB shows its rates traits
JVB Financial has scoured the interest rates market for its underlying of choice, placing its bets on a seemingly inevitable rise in these levels. Hannah Collins talks to John Tessar, head of structured products at the Florida-based distributor about...
CMS: covering all bases
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 tenors, as well as prices of CMS spread options,...
Full implications for CMS convexity
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 tenors, as well as prices of CMS spread options,...
BlackRock tries to renegotiate 'dirty CSAs'
Asset manager seeking to remove collateral optionality - and pricing divergence - from thousands of CSAs
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.
Related conferences
-
Risk OTC Derivatives Clearing Summit
USA, 5th Jun 2013
-
Quant Congress Europe
UK, 12th Jun 2013
-
Risk and Return Brasil - Portuguese
Brazil, 12th Jun 2013
-
Risk & Return Brazil - English
Brazil, 12th Jun 2013
-
What’s next for fixed-income ETFs and structured products?
UK, 3rd Jul 2013
Related training
-
Nexus-Risk Training
Canada, 21st - 16th Oct 2013
-
Active Risk Management in the Treasury
UK, 5th - 6th Jun 2013
-
Active Risk Management in the Treasury
UK, 5th - 6th Jun 2013
-
Market Data, Reference Data & Technology Training
Canada, 10th - 14th Jun 2013
-
Managing Risks in Foreign Exchange
USA, 11th - 12th Jun 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.
- Global securities enforcement activity stepping up to meet new market challenges
- Lender market advisory: swap guarantees – keepwells and excluded obligations
- M&A representations and warranties insurance: what every buyer and seller needs to know
- Green REITs, MLPs and Up-Cs
- How important is collaborative technology in managing risk?
Related Jobs
