Benchmark
Libor webinar playback: spotlight on euros
Panellists from ECB, LCH, Natixis and Societe Generale discuss struggling liquidity in €STR
Libor webinar playback: spotlight on sterling
Panellists from Barclays, HSBC, Intralinks and Morgan Stanley discuss early cessation announcement
Malaysia Ibor trades vs SOFR in new sign of Asia transition
CIMB, Standard Chartered Malaysia strike second swap in region to use Ibor rate against US RFR
Banks aim to close op risk stress test capital gap
Standardising stress drivers could help smooth differences between bank loss estimates
Hong Kong plots Honia-linked floater debut
Central bank hopes floating rate note sale will kick-start new debt market linked to risk-free rate
Libor transition readiness – The current narrative
The decommission of Libor is making a huge imprint on the global financial services sector. The transition from Libor to alternative reference rates may just be the largest financial engineering project the world has ever seen. While the capital markets…
As Covid‑19 impacts the autocallables business, solutions to navigate new challenges are crucial
With pandemic losses impacting derivatives activity, Murex’s MX.3 software solution for autocallables comes to the fore
SOFR discounting: CCPs prepare for make or break auctions
Deluge of one-way risk and kinks in basis swap auctions could derail Libor transition milestone
Regulatory compliance – A little proactivity goes a long way
Regulatory compliance has historically been viewed by the majority of capital markets participants as an unavoidable cost of doing business. Refinitiv explores why it may be time for firms to change their perspectives and approach various compliance…
ETF provider of the year: Yuanta SITC
Asia Risk Awards 2020
FRTB – Special report 2020
Throughout FRTB’s troubled gestation, regulators were warned that making the internal models approach too operationally complex and capital-intensive would mean few outside the biggest banks wanted to use it – with the potentially dire consequence that…
Benchmark reform goes non-linear
Terminating Libor will bring great challenges to the pricing of non-linear rate products
Negative Euribor-Eonia spread tipped to persist
Supply and demand dynamics in unsecured market set to continue, pushing Euribor lower
Race to cash in on term Sonia is filled with twists
Pending merger and FCA’s effort to create synthetic Libor rates could sway outcome
Neural networks for option pricing and hedging: a literature review
This paper provides a comprehensive review of the field of neural networks, comparing articles in terms of input features, output variables, benchmark models, performance measures, data partition methods and underlying assets. Related work and…
Letting go of Libor – How banks and buy-side firms are navigating the road to transition
Libor’s demise as a trusted benchmark presents a seismic challenge to the financial services industry. As time ticks down to its planned replacement in 2021 and alternative rates and new products emerge, market participants must determine the risks to…
Benchmarking operational risk stress testing models
This paper outlines several approaches to benchmarking operational loss projections under stressed scenarios using both accounting metrics and historical loss experience.
Stanford’s Duffie shakes up SOFR credit race with AXI index
Academics propose new credit index that ditches Libor tenors for a single funding spread
Cross-currency confusion stalks FCA announcements
Possibility of RFR fallbacks setting on different dates creating valuation issues, say banks
Slump in €STR swap volumes at LCH leaves market guessing
Market participants are counting on July 27 discounting switch to revive key euro benchmark
The evolution of pricing bonds and the data journey
Jason Waight, head of regulatory affairs, Europe at MarketAxess, considers why access to flexible data is key to using new trading protocols in fixed income
Singapore to end Sibor by 2024
Multi-rate approach ditched after failed efforts to enhance Sibor
Why Asia needs to talk about SOFR
Focus on local benchmark reform is “distracting” Asia’s preparations for the end of USD Libor
Pimco’s Mariappa on iterating through the Covid-19 crisis
Buy-side risk survey: bond giant’s risk head is paying closer attention to idiosyncratic risks