Pricing
MSCI proposes ‘fairer’ alternative to swing pricing
Exiting investors should only pay the cost of net redemptions, says Acerbi
Swap spreads halve as dealers fight for corporate market share
US bank push, rate movements and evolving market practice driving spreads to “suicidal” levels
XVA swings boost US bank trading revenues
DVA change pares down dealers' derivative liabilities
Rethinking XVA sensitivities – Making them universally achievable
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Brexit: banks take the ‘no’ out of novations
Swaps clauses stop end-users blocking counterparty switch, making it easier to move trades to EU affiliates
Euro swaptions market prepares for pricing revamp
Interdealer market to adopt collateralised cash price from July, but some fear impact on legacy books
Cloud set to replace in-house tech for banks
‘No other way’ to meet demands of FRTB, XVA and other changes, claim proponents
Exchange innovation of the year: Eris Exchange
Risk Awards 2018: New swap futures pricing curve removes hurdle for real-money users
Eonia jump forces rethink of euro swap pricing
Traders say volatility of discount rate should be taken into account after "unprecedented" 12bp move
Totem extends pricing data to 10-year repos
IHS Markit service set to help banks with funding and swaps valuation concerns
Ferc urged to prop up illiquid natural gas indexes
A lack of willing price reporters is eroding confidence in key benchmarks
A new nonlinear partial differential equation in finance and a method of its solution
In this paper, the author considers a special type of nonlinear PDE that arises by applying optimization to some financial problems.
Capital savings from new IM regime elude dealers
Slow model development and approval processes mean banks yet to see benefits expected under margin rules
Addressing the eurozone’s ‘lemons’ problem for NPLs
State-aided securitisation of riskiest tranches could prompt purchases of loans, write ECB staffers
XVA reaches far and wide
Sponsored Q&A: CompatibL, Murex and Numerix
Quants head for the shop floor
Demand for technical skills is growing, but roles have changed – and some schools are not keeping up
Pricing and hedging options with rollover parameters
This paper consists of a “horse race” study comparing (i) a number of option pricing models, and (ii) roll-over estimation procedures.
European banks tire of CVA guessing game
Continued political wrangling over Europe’s CVA exemption increases uncertainty for dealers
TriOptima adds MVA calculations to XVA service
Three firms have signed up to use the tool, which calculates MVA across 100,000 scenarios
Stability ahead? Oil prices to tighten as expectations wane
Forecast suggests drop in crude volatility in months ahead
INE oil future to launch ‘as soon as possible’ – CSRC
China's first oil future is still on the cards, but its viability as a new benchmark is far from certain