Derivatives
Applied risk management series: modelling spreads in energy markets
Implications for valuation and risk management of spread options
New Esma ETF guidelines change the rules on securities lending in favour of synthetics
The latest European Securities and Markets Authority guidelines for Ucits ETFs will make life more difficult for physically backed ETFs and point to a growing acceptance of synthetic funds
Tullett Prebon launches private equity hedge for Solvency II
Will reduce capital charge by at least 75%, inter-dealer broker claims
Risk 25 firms of the future: LCH.Clearnet
Open to acquisitions
Lack of governance to blame for Libor scandal, says IMF official
A failure of bank governance is behind the recent Libor rate-fixing scandal – and these kinds of failings could pose systemic risks, says José Viñals
Model foundations of the Basel III standardised CVA charge
Model foundations of the Basel III standardised CVA charge
Deutsche snares JP Morgan’s Murray for clearing role
Senior hire is seen as a coup for Deutsche’s clearing business
Asia Risk corporate and institutional rankings – VOTE NOW!
Take part in our survey to find the top derivatives dealers in Asia
OpRisk Europe: No race to the bottom on derivatives, says CFTC’s Chilton
CFTC due to release interpretive guidance note within a week, which aims to clarify extraterritorial application of its rules
UK utilities face swap counterparty shortage
Bank downgrades could leave many structured finance transactions without acceptable swap providers - a potential nightmare for UK utilities
SwapClear changes expulsion rules
SwapClear changes expulsion rules
LCH.Clearnet splits default fund
LCH.Clearnet splits default fund
Mongolia: First steppes
First steppes
Initiatives promote commodity derivatives in Brazil
Seeds of change
Quanto adjustments in the presence of stochastic volatility
Quanto adjustments in the presence of stochastic volatility
Stochastic volatility’s orderly smiles
Stochastic volatility’s orderly smiles
New regulations could cause $7 trillion "collateral shock"
Trio of rules - on liquidity, clearing and margin for uncleared trades - will hoover up vast amounts of collateral, market participants fear
Cross-default dilemma
Cross-default debacle
Stress testing with fully flexible causal inputs
Stress testing with fully flexible causal inputs
BlackRock tries to renegotiate 'dirty CSAs'
Asset manager seeking to remove collateral optionality - and pricing divergence - from thousands of CSAs
Constant maturity asset swap convexity correction
Constant maturity asset swap convexity correction
Mitigating op risks for CCPs post-crisis
To the rescue
Derivatives blamed for Goldman Sachs' 'toxic' culture
Resignation letter links derivatives trade to moral collapse at bank
Ability to use custodial accounts worries OTC clearing members
Custodial accounts worry OTC clearers