Top quant claims traditional pricing models assume markets to be efficient – and says he can prove they're not
Naive treatment of interaction between skew and correlation means writers of best-middle-worst options will face huge hedging losses, says top quant
CPSS-Iosco guaranteed settlement requirements make foreign exchange options clearing more difficult, say participants
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World Bank believes imposition of national regulations on multilateral development institutions is unprecedented intrusion on the internal operations of international organisations
In an exclusive video interview, Isda chairman Stephen O’Connor says there is a finite capacity for clearing members to provide collateral transformation services to their clients
Citi has become the final major bank to reach a repurchase agreement with Hong Kong regulators on Lehman Brothers related structured products. But Lehman-related enforcement action is expected to ru...
A review of the top Risk.net stories during the first half of 2011
Crucial plenary vote on Emir on July 5 retains suggested amendments to recognise unique nature of FX derivatives, but strips out explicit calls for an exemption
Downgrade triggers spread widening across the eurozone, including 10% leaps for France and Germany
Hong Kong interbank participants have created the first US dollar to offshore renminbi price fixing giving the city first-mover advantage in becoming an offshore centre for renminbi products such as...
Attorneys criticise the division of regulation and the lack of detail on mixed swaps
More than two-thirds of respondents think the long arm of Dodd-Frank will put US banks at a competitive disadvantage
US banks will be shut out of the market for uncleared derivatives, says JP Morgan's chief risk officer
Market participants believe US letter endorses a narrowing of Emir scope, but a Treasury official says the letter draws attention to gap in regulation
The FSC in South Korea has introduced new measures aimed at stopping scalpers from making undue profits in the warrants market. But dealers are concerned the new rules are inadequate and may shrink ...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.