Derivatives end-users have historically had a sure-fire way of making certain they’re receiving a reasonable price from a dealer – they could price the derivative themselves. Armed with little more than a basic knowledge of financial maths and an Excel-based pricing model, canny investors and hedgers could quickly replicate prices – for simple plain-vanilla products at least – and ensure their banks were treating them fairly.
That’s not so easy today. Derivatives prices now depend on a multitude
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
- Quantile, TriOptima face off in cleared swaps compression battle
- ABS set for revival under US Treasury’s liquidity buffer plans
- Quants stymied by lack of alternative risk premia flows data