Derivatives
BoE to authorise EU CCPs ‘at 00:01’ on Brexit day
Central bank hopes plan to preserve access for EU CCPs will be reciprocated
Softened EU swap stay still threatens margin hike
Moratorium cut to two days, but pre-resolution stay could make EU a non-netting jurisdiction
Distributed ledger technology in payments, clearing and settlement
This paper examines how DLT can be used in the area of PCS, and identifies both the opportunities and challenges associated with its long-term implementation and adoption.
Central counterparties and systemic stability
The paper is the text of a keynote address by Marc Bayle de Jessé presented at the conference.
Foreign exchange correlation swap: problem solver or troublemaker?
A correlation structure is an important element in pricing products such as correlation swaps
Optimal equity protection of Solvency II regulated portfolios
In the context of equity investments, this paper examines the relationship between the cost of acquiring protection (in the form of put option) and the reduction of capital charges that it entails. The paper develops the idea that Solvency II regulations…
Podcast: Brigo on derivatives, AI, machine learning and more
Genuine artificial intelligence remains "very, very far away", says Imperial College's Brigo
Asia Risk Congress 2017: The new XVA challenge
Video interview: Fabio Mercurio, Bloomberg
People news: SocGen promotes Garnier to head sales
Plus: Citi's Chen joins Deutsche; Mizuho hires corporate derivatives head; and more
Core-periphery model of bank networks called into question
Researchers find multiple, asymmetric cores in interbank market, posing different systemic risks
Clearing conundrum – Forging a solution for the bilateral market
Central clearing has had a beneficial effect on the over‑the‑counter derivatives market, but for some products the road to a cleared model has not been smooth. Capital, operational and margin costs of the non-cleared market have increased, while…
Derivatives close-out netting nears approval in India
Legislation expected early next year will clarify that local banks can use technique, say lawyers
EBF to update European master agreement
Derivatives and repo docs to be amended in light of new regulations, giving users an EU law option post-Brexit
Monitoring regulatory changes to stay one step ahead
Winners' Circle Q&A | Droit Financial Technologies
Citi and JP Morgan back MarkitSERV rival
Big dealers revealed as first bank clients of swaps start-up truePTS days after legal settlement
European split on NSFR worries dealers
Squabble over derivatives liabilities factor sparks fears of unlevel playing field
JP Morgan urges clients to compress over G-Sib fears
Bank trying to mitigate impact of draft Federal Reserve rule change on clearing business – others are said to be doing the same
Energy Risk Asia Awards 2017: The winners
Societe Generale takes finance house and research gongs; Citi picks up derivatives award
Local volatility from American options
De Marco and Henry-Labordère provide an approximation of American options in terms of the local volatility function
Citi hits hurdle in bid to apply China close-out netting
Chinese derivatives counterparties refuse to amend documentation to apply a netting opinion
Goldman swaps assets drop $140bn after margin change
Move follows guidance from US regulators; no word from Goldman on capital impact
Banks prepare for battle with Fed over G-Sib rules
Proposals would kill client clearing business, FCMs claim – but postponement is a chance to fight back
Industry mulls auction-based Libor swaps transition plan
Stanford’s Darrell Duffie proposes solution for switch to referencing alternative risk-free rates
Hong Kong regulator to monitor investor IDs on Stock Connect
SFC move designed to clamp down on misconduct and promote city as China risk management hub