Valuation
Citi, Goldman, State Street add $685m of complex assets
Private equity, asset-backed security and loan holdings drive increase in Level 3 instruments
Prep now for one-day lag in Eonia, market told
Overnight batch calculations will have to run during the day, following change to doomed benchmark
Podcast: Hong on quanto derivatives and Asia’s quant drought
Credit Suisse quant talks about new paper on valuing quanto options
Portfolio traders turn to tech – A new generation of strategies
Chris Bruner, head of US credit product at Tradeweb, explores the products that can help managers express portfolio views and how they can maximise the benefits they can reap by evaluating and understanding the price, risk and relative value of each…
Goldman, Wells Fargo grew hard-to-value assets in 2018
In contrast, the other six US G-Sibs slashed $4.4 billion of Level 3 assets on aggregate
Wall Street vets vie to be BlackRock of crypto
Fund launch uses fundamental analysis to identify value propositions in high-risk industry
triCalculate and Jon Gregory discuss the current state of play for XVA
An excerpt from a discussion between triCalculate's co-CEO, Martin Engblom, and XVA (valuation adjustment) expert Jon Gregory in which they discuss the current state of play for XVA. Our experts provide professional insight on topics such as credit…
IFRS 17 Special report 2019
The insurance industry has long been vocal about the need for a two-year extension to the International Accounting Standards Board’s (IASB’s) proposed 2021 implementation date for International Financial Reporting Standard (IFRS) 17 – the accounting…
Valuation model risk on the rise at EU banks
Over two-thirds of fair value assets priced using banks' models
How banks can keep pace with XVA
The complexity of derivatives pricing has grown significantly in the past decade, with banks having to factor in a series of valuation adjustments to calculate the impact on their balance sheets. With budgets and resources under pressure, and traditional…
Lifetime achievement award: Craig Broderick
Risk Awards 2019: Goldman’s long-serving CRO helped bank survive the crisis, and then adapt to new world
MVA: Forecasting initial margin for client trades and dynamic hedges
In its latest margin survey, the International Swaps and Derivatives Association reported that initial margin (IM) collected by the top 20 firms increased by 22% to $130.6 billion at the end of 2017. As new transactions become subject to IM requirements,…
How to apply Python to complex financial markets
The unprecedented proliferation of data in derivatives markets has led to a rise in popularity of Python, a multipurpose programming language known for its versatility and flexibility. Undoubtedly, the increased adoption of Python has helped enable…
Compliance preparations amid uncertain rules
A forum of industry leaders discusses how banks will define individual trading desks under FRTB, whether BCBS 239 compliance projects can help banks meet FRTB risk data challenges, which model validation obstacles banks still face and other key topics
Embracing the sea change to come with FRTB
Firms have until 2021 to implement FRTB, and those yet to begin compliance efforts risk putting themselves at a disadvantage. EY‘s financial services risk partners Shaun Abueita and Sonja Koerner explore the current level of readiness within the industry…
RFR valuation challenges
A new system of interest rate benchmarks for all major currencies is emerging. These new benchmarks will replace interbank funding rates with risk-free rates (RFR). This article by LPA focuses on valuation challenges during the transitional period to new…
Preparing for the initial margin phase-in
Requirements for the mandatory exchange of initial margin are expected to be time‑consuming and laborious to implement. David White, head of sales at triResolve, discusses the lessons learned from in‑scope firms, obstacles to achieving compliance and how…
Societe Generale defers €1.35 billion of trade profits
French dealer holds back far more than rival dealers
Eonia woes hold up euro swaptions switch
Eleventh-hour derailment for project that has been in the works for a year