Interest rates are the 800-pound gorilla of the derivatives industry. Thus, while the US Office of the Comptroller of the Currency reported that US commercial banks had a total credit derivatives notional exposure of $635 billion in the fourth quarter of 2002, that is no more than the outstanding interest rate derivatives notional exposure of Wells Fargo Bank – hardly the largest player in the market.
The International Swaps and Derivatives Association recently estimated that the global credit d
The week on Risk.net, October 6-12, 2017Receive this by email
- SGX, HKEX expect to be among first wave of Mifid II equivalence
- Leaked EU doc could shield legacy swaps from clearing grab
- ABS set for revival under US Treasury’s liquidity buffer plans
- Quantile, TriOptima face off in cleared swaps compression battle
- Quants stymied by lack of alternative risk premia flows data