Derivatives
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
Asia Risk FX review and outlook 2012
Asia Risk FX review and outlook 2012
Vote now in the 2012 Risk Brasil derivatives survey
Risk's annual poll on Brazil's derivatives markets, including interest rates, currency, equity and other categories
Pushing for break-clause capital relief
Break dancing
Margin segregation
In depth: segregation introduction
Banks caught in DVA dilemma
The DVA dilemma
Analytical risk contributions for non-linear portfolios
Analytical risk contributions for non-linear portfolios
Downgrade termination costs
Downgrade termination costs
Banks want derivatives collateral included in LCR
Received collateral is currently counted towards the liquidity reserve at some large banks, but should not be included in the LCR, say sceptics, who argue the assets can't be relied upon
OCC: equity derivatives to get a cross-margin service
OCC: equity derivatives to get a cross-margin service
ETFs: moving beyond the synthetic-versus-physical debate
Under the microscope
Hybrid correlation matrices
Hybrid correlation matrices
Analytical risk contributions for non-linear portfolios
Analytical risk contributions for non-linear portfolios
Swaps push-out a 'vast overreaction', says OCC's Walsh
Section 716 of the Dodd-Frank Act is based on a misperception of OTC derivatives, says acting OCC head - who also acknowledged criticism of US uncleared margin proposals
Lack of long-dated instruments hampering offshore RMB market
A strong demand for long-dated offshore RMB instruments is not being met by the market, according to one Hong Kong corporate
CCPs should have last word on OTC clearing, says FOA
Supervisors should not be able to force clearing houses to accept certain classes of OTC derivative, says FOA's Belchambers