Derivatives
Recovering Greeks from sensitivities
This quantitative paper presents a model-independent method for calculating delta, vega and rho based on a comparison of the sensitivities of any derivative payoff with those of its underlying observables
Hedge funds push for transparency in credit determinations
Proposals include more disclosure around meetings and detailed rulings of credit events
Is your SOFR readiness being put to the test? Let’s talk about post-transition issues and challenges
In this whitepaper, five Numerix experts discuss the issues tied to SOFR impacting the market
JP Morgan names new co-heads of markets
Sippel and Thakur will lead a trading business that has been reshaped over the past 18 months
Gas market area mergers: when is bigger better?
The authors investigate welfare effects of gas market area mergers and argue that merged market areas benefit from increased market power.
From ‘glut effects’ to ‘greedflation’: the factors shaping derivatives markets in 2024
Societe Generale and Risk.net held the ninth edition of their annual flagship Derivatives Conference in the iconic SG Towers at La Défense. Usually hosted in London, the event was co-sponsored by the CME Group and took place in Paris for the first time,…
Why ‘Derivatives’ became ‘Markets’
The derivatives markets have changed drastically over the past decade. So has Risk.net’s coverage
Collateral damage: the lowdown on dirty CSAs
How are banks coping with growing demand for non-cash collateral in uncleared derivatives contracts? An expert panel discusses the re-emergence of dirty CSAs
Pimco’s interest rate swaps book shrinks 21% in Q3
Counterparty Radar: BlackRock and Capital Group also trim positions to drive down swaps usage by US mutual funds
Bank balancing: optimising margin and capital in a higher-rate environment
This Risk.net paper, which features leading practitioner insights, assesses the challenges banks are facing in the new higher rate environment and the strategies and tools they are using to optimise margin and capital on their derivatives portfolios.
Barclays’ F&O client margin hit new high in October
Bank on course to overtake Citi as sixth-largest FCM by required funds in the US
Tackling credit risk in turbulent times
In September and October, Risk.net surveyed 58 chief risk officers from a mixture of banks and insurers across the Asia-Pacific region on the credit risks they face in the current environment and how they manage them.
BNP takes top forwards spot with US mutuals
Counterparty Radar: French bank ousts Bank of America to lead the table for the first time
Buy-side traders opt for derivatives automation in pursuit of timing and pricing precision
Increased capacity and efficiency have been key drivers of automation, with the introduction of new technologies at the trading venue level facilitating the implementation of new trading styles. Exploring the impact of high-volume trading and expanding…
Citi propels G-Sibs’ OTC derivatives notionals to nine-year high
Bank leapfrogged Goldman as fourth-largest derivatives dealer after 20% jump over 2022
Most G-Sib indicators hit all-time highs in tumultuous 2022
Trading volumes and payment activity among fastest-surging indicators
Indian CCPs derecognition costs BNPP, Deutsche €6bn in RWAs
Esma’s decision forces re-weighting of local exposures by EU dealers
New developments in XVA: bank strategy in a changing world
Derivatives valuation has grown in complexity since the the financial crisis that began in 2007–08. It now encompasses a broader range of risk factors, including credit, funding, margin and capital – all of which can affect banks’ competitiveness and…
How corporates are tooling up for FX risk
Unstable markets have forced corporate treasurers to adopt whizzier methods for managing currency exposures
Huatai launches its first Hong Kong CBBC
Two more securities houses set to follow Chinese firm into Hong Kong’s listed structured products market
Welcome to a new ecosystem for managing credit risk
How Eurex is using credit index futures to build the next frontier for exchange-traded derivatives
BlackRock, Pimco slash mutual fund swaptions books
Counterparty Radar: US retail funds retreat from trade as Morgan Stanley becomes top dealer in Q2
Hedging of financial derivative contracts via Monte Carlo tree search
This paper applies the Monte Carlo tree search as a method for replication in the presence of risk and market friction
The importance of data-driven decision-making in Apac
Embracing data-driven decision-making enabled by digital technologies is crucial for the success of lending institutions in Apac