Traditional techniques used to price derivatives and accurately include counterparty credit risks failed to work properly during the global financial crisis of 2007–8. This has resulted in derivatives experts at dealers and regulators reappraising best practice for the pricing of derivatives such as interest rate swaps.
Now overnight indexed swaps (OIS) rates are used instead of Libor as the discount rate for collateralised interest rate swap transactions, with most major dealers and clearing ho
The week on Risk.net, October 6-12, 2017Receive this by email
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- Quantile, TriOptima face off in cleared swaps compression battle
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