Interest rate derivatives
A Libor market model with a stochastic basis
A Libor market model with a stochastic basis
Germany - liability-driven investment goes mainstream
Time for change
Interest rates house
Structured Products Europe Awards 2010
Product performance
Product performance
Global OTC derivatives widely dispersed, Isda survey finds
Five largest US-based dealers hold 37% of total notional, trade association says
Risk South Africa Rankings 2010
Neck and neck
Deutsches Risk Rankings 2010: Deutsche Bank top again
Confusion, then clarity
New MSRB rules seek to end municipal swap adviser scandals
Dodd-Frank rules take aim at brokers pushing rate swaps for bigger commissions
China beefing up derivatives master agreements; possible Isda friction?
Efforts by Nafmii to bolster the definitions of China’s over-the-counter derivatives master agreements should help market development. But there are concerns about potential copyright infringement related to Isda master agreements.
LCH.Clearnet in a raft of Asia deal talks
Clearing giant LCH.Clearnet strengthens its position in Asia as it looks to seal a number of clearing deals with a raft of exchanges and other market participants
Asia Risk 15: A steep learning curve for interest rate derivatives
Asia’s interest rate markets have matured significantly during the past 15 years and now offer a full array of onshore and offshore hedging and investment options to end-users. Georgina Lee reports
Statoil stung by hedging derivatives losses
Norwegian oil and gas giant Statoil's results are hit by major losses on hedging derivatives in spite of a rise in profits and production
Isda AGM: Rate of decrease in CDS notional falls
The rate of decrease in notional volumes of credit default swaps (CDSs) has slowed, according to the International Swaps and Derivatives Association’s year-end 2009 market survey, which was unveiled at its annual general meeting in San Francisco on April…
A state of flux
Efforts to improve the risk architecture for the derivatives business in Asia appear more muted than elsewhere, with many regulators in the region taking a wait-and-see approach towards central counterparty. But, as Duncan Wood reports, there are some…
Japanese exchanges move to set up CCPs next year
Risk mitigation systems for over-the-counter derivatives set to go live in 2010
Rates squared
Vladimir Piterbarg introduces a conveniently parameterised class of multi-factor quadratic Gaussian models, develops calibration formulas and explains the advantages of this class of models over alternatives currently available for the pricing and risk…
Juggling snowballs
Previous work on the valuation of cancellable snowball swaps in the Libor market model suggested the use of nested Monte Carlo simulations was needed to obtain accurate prices. Here, Christopher Beveridge and Mark Joshi introduce new techniques that…
An operational risk scorecard approach
Operational risk scorecards have been in the spotlight since the Basel Committee on Banking Supervision’s 2001 paper on op risk treatment under Basel II. In the first of two articles, Ulrich Anders and Michael Sandstedt of Dresdner Bank examine what,…