
Dealing with funding on uncollateralised swaps

Derivatives pricing has never been simple, but there were a few constants people used to be able to rely on. One of the most fundamental was the use of Libor as a discount rate to price derivatives trades. The financial crisis has caused this assumption to be thrown out of the window. The majority of banks now recognise that the overnight indexed swap (OIS) rate should be used to discount future cashflows on collateralised swap transactions (Risk March 2009, pages 19–22). Meanwhile, non
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Interest rate derivatives
Risk management
Nasdaq whacked with $36 million fine over Aas default
Swedish regulator’s fine poses serious questions over default management and margining, while providing few answers
Receive this by email