Derivatives
Solvency II asset charges will not stop insurers funding banks
Strategic moves
Perturbed Gaussian copula: introducing the skew effect in co-dependence
Perturbed Gaussian copula: introducing the skew effect in co-dependence
Being particular about calibration
Following previous work on the calibration of multi-factor local stochastic volatility models to market smiles, Julien Guyon and Pierre Henry-Labordère show how to calibrate exactly any such model. Their approach, based on McKean’s particle method,…
Risk.net: Top 15 stories of 2011
Derivatives pricing, collateral and Basel 2.5 and Basel III are the most read stories of 2011
New Zealand: a step in the right direction
A new draft version of New Zealand’s Financial Markets Conduct Bill was published for consultation in August. The bill provides greater clarity than the previous draft and removes uncertainty – but some further tweaks are needed, says Cindy Leiw of Isda
Funding cost adjustments for derivatives
Funding cost adjustments for derivatives
CFTC’s Chilton: lessons learnt from MF Global
MF Global “new poster child for the need for thoughtful regulation" that must be "proactive, nimble, quick", says CFTC’s Chilton
Quant Congress Europe: Peter Carr introduces ‘meta-modelling’
Morgan Stanley quant tells Risk's annual European quantitative finance event that modelling assumptions should be considered in light of calibration needs - even if this leads to discrepancies
Cutting Edge introduction: the DVA debate
The DVA debate
SEC appoints two trading and markets associate directors
The US Securities and Exchange Commission has named heads of regulation for derivatives policy, and clearance and settlement
In the balance
Christoph Burgard and Mats Kjaer discuss the relationship of the funding cost adjustment to the balance sheet
India credit derivatives market prepares for lift-off
Indian summer for CDS?
Malaysia regulators unveil new rules for derivatives
New rules for derivatives
CRD IV should reflect Emir exemptions, says Bowles
Chair of European Parliament's Econ committee believes CRD IV should mirror Emir corporate exemptions, but has not yet decided whether sovereign counterparties should enjoy the same benefit
Industry to make 11th hour plea over Emir scope
The EU council text of Emir could be voted through next week, but a group of industry associations will plead for a late - and controversial - change
Canadian OTC derivatives repository unnecessary, say market participants
Critics argue a Canadian OTC derivatives repository would lead to fragmented and inconsistent data
Rule could make OTC-cleared energy contracts 'endangered species': O’Malia
CFTC commissioner renews support for over-the-counter energy clearing tool in the face of new Dodd-Frank rules that could affect operation
Corporate profile: Containing risk at China’s CSCL
Containing risk
Spread options, Farkas's lemma and linear programming
Spread options, Farkas's lemma and linear programming
Special report: Clearing and settlement
Special report: Clearing and settlement
Shell Energy chief calls for regulatory data confidentiality rules
The confidentiality of energy trading data provided to regulators for market monitoring purposes continues to concern market players and regulators alike, after August leak by senator Sanders
SGX consults on derivatives clearing reform
The Singapore Exchange has proposed amendments to limit the liabilities of its members on exchange-traded and over-the-counter derivatives
OTC derivatives reform will lead to algo boom, banks predict
Dodd-Frank and Sefs set to encourage growth in algorithmic execution of OTC derivatives, say dealers
Spread options, Farkas's lemma and linear programming
Spread options, Farkas's lemma and linear programming