Derivatives
For corporates, Sora seems to be the hardest word
Singapore is facing challenges adapting to new overnight lending rate, but progress is being made
New technology is redefining the success of the front office
A Q&A with Numerix’s Chief Product Officer giving insights into how new technologies are changing the ways financial institutions operate, invest and trade
Outrunning risk with cloud
Supercharged risks are running circles around banking risk models. Here’s how the cloud can keep you one step ahead
Building artificial intelligence in credit risk: a commercial lending perspective
This white paper provides a contemporary look at what AI and machine learning adoption could mean for commercial lending and credit risk assessments
GM Financial’s derivatives fall 72% in value in 2021
A steeper forward interest rate curve paired with an appreciating dollar erased most of the gains booked by the carmaker’s lending arm in 2020
SSA risk manager of the year: European Commission
Risk Awards 2022: EC debt programme skyrockets to fund recovery package of up to €800 billion
Derivatives exposures up 26% at BP
Oil giant posts fourth consecutive yearly increase in 2021
Risk solutions house of the year: Santander Corporate & Investment Banking
Risk Awards 2022: Multi-jurisdiction transactions saw the bank solve three-way currency conundrum and take on litigation risk
Prime broker of the year: Barclays
Risk Awards 2022: Focus on risk management helps UK bank win client trust – and balances – in wake of Archegos collapse
Currency derivatives house of the year: UBS
Risk Awards 2022: T-Pricer platform enabled bank to gain technological edge
SOFR swaps surge past $1 trillion weekly
OIS make up the majority of SOFR-referencing swaps
How do you solve a problem like the lira?
Asset managers diverge in their approach to managing Turkish currency turmoil as FX hedging costs soar
Netting challenges push ING’s market RWAs up 64%
A regulatory issue left the bank unable to consolidate cross-border positions in Q4
Shell derivatives exposure rose by $15bn in 2021
Over 93% of the oil giant’s derivatives instruments were designated as current
Protecting a crude oil derivatives portfolio from event volatility with WTI Crude Oil Weekly options
A case study on how a trader identified a short-term risk to their portfolio and used Crude Oil Weekly options as a precise low premium hedge
Liquidity risk rose at most CCPs in Q3
JSCC, CME, Ice and Eurex among those that revised their VM estimates
Leveraging data in e-FX trading
A white paper explaining how, in a world where electronic trading has infiltrated virtually every aspect of today’s FX market, having access to data and the means to interpret it are fundamental components of a successful e-FX strategy
Outrunning risk with cloud
Supercharged risks are running circles around banking risk models. Here’s how the cloud can keep you one step ahead
To cloud or not to cloud: factors influencing decision-making at banks
In a new research report, Audrey Costabile Blater of Aite-Novarica’s Capital Markets team shares notable findings from her one-on-one interviews with key stakeholders across the financial services sector uncovering what’s driving – or holding back –…
Morgan Stanley curbs SA-CCR impact on core ratio
Impact of early implementation far below original estimates thanks to mitigatory action
SA-CCR switch pushes Goldman below Collins floor
Early adoption at the end of 2021 adds $15 billion of RWAs
Citi bolstered CET1 ratio on eve of SA-CCR switch
Standardised RWAs dropped 5% in Q4, boosting the bank’s core ratio by 55bp
A cost–benefit analysis of anti-procyclicality: analyzing approaches to procyclicality reduction in central counterparty initial margin models
In this paper, the authors suggest how margin setters and policy makers might measure procyclicality and target particular levels of it by recalibrating parameters in a margin model to reduce its procyclicality or by applying an anti-procyclicality tool.
Libor’s death propels SOFR swaps market
Trading in the risk-free rate jumped to a weekly high and long-dated swaps activity grew