Overnight indexed swap (ois)
BlackRock tries to renegotiate 'dirty CSAs'
Published online only
Source: Risk magazine
Asset manager seeking to remove collateral optionality - and pricing divergence - from thousands of CSAs
Published online only
Source: Risk magazine
Current methodology to calculate a close-out value following the exercise of a break clause results in inaccuracies, claim dealers
Original headline:
Source: Structured Products
Operational risk and effective risk management have taken over from exotic innovation in the structured products market. With the barriers to entry still big enough to put off new entrants to the technology...
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More Overnight indexed swap (ois) articles
CMS: covering all bases
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 tenors, as well as prices of CMS spread options,...
Risk management technology product of the year: Quantifi
Original headline:
Source: Risk magazine
A host of tasks become magically simpler if their more demanding aspects are ignored. Cooking bouillabaisse is easy if it doesn’t have to taste nice; bullfighting is less dangerous if the torero remains outside the ring; pricing derivatives is a breeze...
Standard CSA: the dollar dominance dispute
Original headline:
Source: Risk magazine
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 banks have raised concerns about the dominant role...
Risk.net: Top 15 stories of 2011
Published online only
Source: Risk magazine
Derivatives pricing, collateral and Basel 2.5 and Basel III are the most read stories of 2011
The dollar dominance dispute
Published online only
Source: Asia Risk
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 banks have raised concerns about the dominant role given to the US...
Standard CSA: Industry's solution to novation bottleneck gets nearer
Original headline:
Source: Asia Risk
Disputes over the valuation of trades backed by multi-currency credit support annex (CSA) agreements – allowing counterparties to post collateral in multiple currencies and assets – have pushed the industry to develop a new standard CSA. Progress...
SwapClear may assist OIS development
Original headline:
Source: Risk magazine
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
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