Perfecting prices

Perfecting prices

jeffery-jpg

Traditional techniques used to price derivatives and accurately include counterparty credit risks failed to work properly during the global financial crisis of 2007–8. This has resulted in derivatives experts at dealers and regulators reappraising best practice for the pricing of derivatives such as interest rate swaps.

Now overnight indexed swaps (OIS) rates are used instead of Libor as the discount rate for collateralised interest rate swap transactions, with most major dealers and clearing ho

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: