Libor
Pricing, Basel, Paulson & Co: the top stories of 2011 so far
A review of the top Risk.net stories during the first half of 2011
Hearing on Libor class action venue due
US dollar Libor banks could find out details of a class action lawsuit against them as early as August
Libor fix?
At least 12 lawsuits alleging manipulation of Libor have been filed since April, and six different authorities – including the US Department of Justice – are investigating. But how would manipulation work in practice, and is there any evidence of it so…
BNP Paribas takes €108 million hit on swaps after switch to OIS discounting
French bank becomes the latest to divulge a revenue impact from a change to overnight indexed swap discounting
Latin America house of the year
House of the year, Latin America
UBS faces investigations over Libor manipulation
Has received subpoenas from several international authorities
Yen interbank funding market calm as government bond yields retrace
The reduced scale of hedge fund carry trade activities compared with previous crises such as the collapse of Lehman Brothers in 2008 has reined in potential increases in the yen libor rate and short-end JGBs.
South Africa
South Africa special report
Behind the curve
Behind the curve
Quant of the year: Vladimir Piterbarg, Barclays Capital
Risk awards 2011
Clearing house of the year: LCH.Clearnet
Risk awards 2011
In-house system of the year: Advanced Repo Curves, Barclays Capital
Risk awards 2011
Deutsches Risk Rankings 2010: Deutsche Bank top again
Confusion, then clarity
Regulation to reshape bank funding
Contrasting regulation for buyers and issuers of bank paper is adding to stress in funding markets.
EBF expansion of Euribor set to increase euro benchmarks gap
Changes are planned to a key euro rates benchmark - and it could have a number of knock-on effects.
Dealing with funding on uncollateralised swaps
Many banks are now using their own cost of funding as a discount rate when pricing non-collateralised swaps trades. How are banks dealing with the difference in funding rates when quoting derivatives prices, and could this influence a client’s choice of…
Funding valuation adjustments sponsored forum: A clear and present future
It is now generally accepted that banks should use a different pricing methodology depending on whether a derivatives trade is collateralised or non-collateralised. Specifically, dealers are now using overnight indexed swaps to discount the present value…
LCH.Clearnet considers revaluing $212 trillion swap portfolio
LCH.Clearnet could start using overnight indexed swap (OIS) rate curves rather than Libor to value its roughly $212 trillion swap portfolio, in response to changing market practice.
The price is wrong
As the basis between Libor and overnight index swap rates ballooned during the credit crisis, banks were forced to reassess methods for pricing collateralised and uncollateralised derivatives trades. The result is a move towards a new market standard in…
Gap trade interest could salvage dealer risk recycling channel
Renewed interest in gap risk trades might resurrect the defunct trading channel previously used by structured products issuers as a means to recycle unwanted gap risk, say dealers.
Joining the SABR and Libor models together
Fabio Mercurio and Massimo Morini propose a Libor market model consistent with SABR dynamics and develop approximations that allow for the use of the SABR formula with modified inputs. They verify that the approximations are acceptably precise, imply…
Joining the SABR and Libor models together
Fabio Mercurio and Massimo Morini propose a Libor market model consistent with SABR dynamics and develop approximations that allow for the use of the SABR formula with modified inputs. They verify that the approximations are acceptably precise, imply…
Libor forecast to lose status as key benchmark
Libor's days as a key benchmark for a variety of derivatives and as a measure of interbank lending rates may be numbered, a leading interest rates strategist has suggested.