Counterparty credit risk

Two curves, one price

The financial crisis multiplied the yield curves used to price interest rate derivatives, making traditional no arbitrage pricing no longer valid. By taking into account the basis adjustment bootstrapped from market basis swaps and using a foreign…

The end for one-way CSAs

Sovereign derivatives users have been able to avoid posting collateral to their dealer counterparties in the past, but pending reforms to bank capital and funding rules are changing the equation. If sovereigns refuse to budge, they will have to accept…

Basel CVA changes criticised

The Basel Committee on Banking Supervision has adapted its proposals for a capital charge on counterparty risk following industry feedback, but banks were hoping supervisors would go further. By Mark Pengelly

Two curves, one price

The financial crisis has multiplied the yield curves used to price plain vanilla interest rate derivatives, making classic single-curve no-arbitrage relations and pricing formulas no longer valid. Marco Bianchetti shows that no-arbitrage can be recovered…

CFTC rules increase credit risk

Proposed rules to limit leverage on margin FX trading accounts at retail forex brokers will have the unintended consequence of increasing counterparty risk, according to Josh Levy, managing director at Tactical Asset Management.

ETFs: simple, or simply confusing?

Exchange-traded funds first appeared 20 years ago as transparent, easy to understand alternatives to actively managed funds. But as they have developed some of this transparency and simplicity has been lost. The first Structured Products ETF survey asks…

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