Valuation
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
SRB denies conflict of interest claim on Banco Popular
Bondholders poised to challenge “no creditor worse off” valuation if compensation is denied
Euribor can stay if reforms succeed – ECB’s Holthausen
Regulator also sees no clear favourite in array of Ibor fallback approaches
Rethinking XVA sensitivities – Making them universally achievable
Content provided by IBM
Swaps users to get three choices for synthetic Libor
Consultation due next month as industry tries to avoid big losses on benchmark’s death
Swaptions CCP basis arrival raises wider valuation questions
Halting rollout of new prices highlights potential weak points in valuing illiquid products
Euro swaps market faces loss of key basis hedge
New Eonia/Euribor swaps will be barred from 2020 if Eonia fails to comply with EU benchmark rules
Quants needed: how finance can use power of quantum tech
New machines have big potential in AI, valuations and VAR, but tech giants like IBM need help from practitioners
Asia Risk Congress 2017: The new XVA challenge
Video interview: Fabio Mercurio, Bloomberg
Upholding values: bondholders demand resolution transparency
Banco Popular case could have wider implications for future bank bail-ins
A model for the valuation of assets with liquidity risk
This paper describes a model for the valuation of assets on a bank balance sheet with liquidity risk. It applies the model to single cashflows, loans, bonds and derivatives. In addition, the calibration to London Interbank Offered Rate basis spreads is…
Asian buy side faces non-cleared margin currency penalty
Global banks charge premium for accepting local securities instead of major currencies
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