Valuation
Totem extends pricing data to 10-year repos
IHS Markit service set to help banks with funding and swaps valuation concerns
Efficient valuation of equity-indexed annuities under Lévy processes using Fourier cosine series
This paper proposes an efficient algorithm to value two popular crediting formulas found in equity-indexed annuities – APP and MPP – under general Lévy-process-based index returns.
Falling margins force energy firms to expand data use
Verification and model challenges arise as volatility and margins dry up
The price is still wrong: banks tackle bond CSA discounting
Diverging Eonia and European repo rates spur banks to look at valuations of swaps with bond collateral
Dealers predict ‘softening’ of NSFR in Europe
Some banks' pricing already assumes rule will be watered down
BoE: Libor reform needs swaps market support
“The dependence on term Libor fixings remains an unnecessary vulnerability,” writes BoE’s Salmon
'Cherry-picking' claims fly in CSA rate floor negotiations
Traders accused of self-interest in negative rate floor discussions
Strong banks, weak stocks: should regulation share the blame?
Analysts say regulatory risk plays a part in weak bank valuations and wobbly prices
The double default value-of-the-firm model
This paper analyses whether the double default treatment under Basel II is appropriate to capture the asymmetric relationship between an obligor and its guarantor.
Dealers overpricing CLNs, research suggests
Information asymmetry and illiquidity driving up prices
Beyond Libor: what reform plans mean for swaps users
Big bang still an option in plans to propagate new benchmarks
Small banks face rate options valuation model change
Negative rates causing pricing model rethink
Cutting edge introduction: Expanding collateral options
Two RBC quants propose a way to value CSAs with more than two currency posting options
Totem poll: users of Markit service call for change
Libor-like consensus methodology creates bad incentives, clients fear
Noble Group defends off-balance sheet inventory deals
Firm’s treatment of optional commodity inventory sales is appropriate, CEO says
Evolving reporting/valuations in $2.8trn fund admin survey
National regulator AIFMD validation checks said to be neither uniform nor consistent
Quant ideas: Do we need realistic models?
Realistic models not necessarily a prerequisite for successful risk management
MVA by replication and regression
Burgard and Kjaer method is extended to include margin valuation adjustment
Anatomy of a model: Valuation of physical assets
Quant ideas paper dissects layers of valuation models for physical assets
Goldman hid swaps profits from clients, whistleblower claims
US bank accused of manipulating client valuation reports to mask profits
Robust valuation and hedging of tolling agreements and physical assets
Flexible, martingale duality-based method provides reliable valuation
SEC to focus on fair value in alternative mutual funds
Fund managers need to ensure internal controls are up to the mark
Hedge funds see fund admin offering divergence
Providers distinguished by Emir and AIFMD reporting and valuation services
Hedge funds seek third-party Emir valuations
Delegating Emir reporting may cause more problems than it solves