UK bank's funding charge jumps 75% to $460m
Higher discount rate can cut payouts to in-the-money clients by millions
The online Certificate in Quantitative Finance program provides risk professionals with quant finance tools applicable to their roles, and now offers risk management electives. Download the CQF brochure.
More OIS discounting articles
Operational risks, funding valuation adjustment and the money made by one dealer in the early days of OIS discounting – the top stories of the year on Risk.net
In this video discussion, Duncan Wood, editor of Risk, talks to Nick Sawyer, Risk’s editor-in-chief, about attempts to price in a replacement valuation adjustment on derivatives trades
Rule change could see growth in swaps indexed to federal funds rate
The move towards OIS discounting is proving difficult enough for banks in US and European markets but firms in Asia are facing the added difficulty of a dealing with multiple currencies
Goldman and the OIS gold rush
Regulatory change will force firms to alter their behaviour, and their technology platforms need to keep pace
The collateral currency convexity conundrum
Industry group will launch a best practice document confirming that negative interest rates apply under CSA
New proposals on the margining of uncleared derivatives trades could dampen take-up of the standard CSA
Higher credit risk adjustment to reflect current market conditions
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.