Derivatives - Risk.net

Del Missier: "status quo won't work" for long-dated trades

Fri, 10 Feb 2012 17:43:35 GMT

Dealers will have to change the way they approach long-dated derivatives business, says Barclays Capital’s Jerry del Missier

The new normal: structurers learn to live with low interest rates

Wed, 08 Feb 2012 15:37:00 GMT

Risk.net

The low rates challenge Rock bottom interest rates in a difficult macro environment and the prospect of upcoming regulations have led to a need for banks to focus on products optimised around constraints. As the mood remains cautious in Europe and many developed markets approach the zero-rate boundary, the emphasis on robust strategies that can take account of more factors is gathering momentum. Sarah Nowakowska reports

Dealers agree standard index CCDS documentation

Wed, 08 Feb 2012 10:03:36 GMT

Risk.net

The development of an index CCDS product will help market participants hedge counterparty risk, say proponents

New Prime Finance panel could tackle debt crisis disputes

Mon, 06 Feb 2012 17:28:43 GMT

Risk.net

An arbitration panel set up to tackle derivatives disputes could also tackle eurozone debt crisis issues, says Jeffrey Golden, architect of the Isda master agreement

Q&A: Michael Spencer on Europe, Tobin taxes, OTC reform and futures monopolies

Mon, 06 Feb 2012 17:15:00 GMT

Risk.net

Broking's Big Bang A Europe-wide trading tax is under discussion in Paris and Frankfurt, but has no chance of being approved by the UK, Icap’s chief executive Michael Spencer tells Duncan Wood

CCIL’s Roy: CCP settlement for Indian CDS three years away

Mon, 30 Jan 2012 11:45:00 GMT

Risk.net

The Indian CDS market, which started trading at the end of last year, will need three years before trades can start being cleared through a central counterparty, says clearing house CRO

Hybrid correlation matrices

Wed, 25 Jan 2012 17:20:00 GMT

Risk.net

Hybrid correlation matrices Integrating available implied volatility data into a historical correlation matrix is an essential part of calibrating a Monte Carlo credit value adjustment pricing simulation at the portfolio level, but can yield nonsensical results. Someshwar Roy and Ersel Korusoy use principal components analysis and implied time series to ensure the output conforms to the properties of a correlation matrix

Swaps push-out a 'vast overreaction', says OCC's Walsh

Wed, 25 Jan 2012 09:56:00 GMT

Risk.net

Section 716 of the Dodd-Frank Act is based on a misperception of OTC derivatives, says acting OCC head - who also acknowledged criticism of US uncleared margin proposals

Icap's Spencer: 'not a prayer' of UK agreeing to FTT

Wed, 25 Jan 2012 00:05:00 GMT

Risk.net

Proposed EU trading tax would be vetoed by UK, says Icap's Spencer - if not, the broker will move its London HQ to New York

ECB in talks with dealers on buying inflation-linked bonds

Tue, 24 Jan 2012 14:05:00 GMT

Risk.net

Dealers will present their case as to why the ECB should buy linkers as well as nominal bonds in a conference call today

Lack of long-dated instruments hampering offshore RMB market

Wed, 18 Jan 2012 16:03:00 GMT

Risk.net

A strong demand for long-dated offshore RMB instruments is not being met by the market, according to one Hong Kong corporate

CCPs should have last word on OTC clearing, says FOA

Wed, 18 Jan 2012 14:52:00 GMT

Risk.net

Supervisors should not be able to force clearing houses to accept certain classes of OTC derivative, says FOA's Belchambers

RBS cash equities exit could hike hedging costs

Mon, 16 Jan 2012 12:21:00 GMT

Risk.net

RBS will have to pay more to hedge vega from its equity derivatives business after losing offsets provided by cash, rivals say

Operational uncertainty still a concern in OTC reform

Thu, 12 Jan 2012 00:40:00 GMT

Risk.net

More guidance needed on CCP rules, study finds

Risk awards 2012: JP Morgan takes the crown

Wed, 11 Jan 2012 10:00:00 GMT

Risk.net

JP Morgan scoops six categories in Risk’s annual awards, with Deutsche Bank winning three. Two colleagues from Danske Bank – Jesper Andreasen and Brian Huge – land the award for quantitative research, while Markit’s Lance Uggla wins the lifetime achievement award

How the CCP location debate helped split the EU

Tue, 10 Jan 2012 16:06:00 GMT

Risk.net

Location, location, location The European Central Bank’s insistence that all euro clearing take place within the eurozone was at the heart of December’s row between the UK and the rest of the European Union. David Cameron was feted by some for his defence of London’s financial district, but the dispute could run and run. By Michael Watt

Standard CSA: the dollar dominance dispute

Tue, 10 Jan 2012 15:56:00 GMT

Risk.net

The dollar dominance dispute Disputes over the valuation of collateralised derivatives trades have pushed the industry to develop a new standard credit support annex. A solution has been proposed – but some Asian and Australian banks have raised concerns about the dominant role given to the US dollar in the new framework. Are their concerns justified? By Nick Sawyer and Viren Vaghela

Basel 2.5 prompts flurry of asset sales and risk transfer deals

Tue, 10 Jan 2012 15:52:29 GMT

Risk.net

The profits of imbalance The last months of 2011 saw European banks preparing for the arrival of Basel 2.5 by trying to lighten their risk-weighted assets – but a delay in implementing the same rules in the US has created an uneven playing-field, they complain. Mark Pengelly reports

OCC: equity derivatives to get a cross-margin service

Tue, 10 Jan 2012 15:43:40 GMT

Risk.net

Off target Margin efficiency is going to be key to both listed and OTC derivatives markets, but the equity market has been lagging - a result of regulatory opacity

Dealers call for ECB to buy inflation bonds as Italy faces exit from key index

Mon, 09 Jan 2012 00:10:00 GMT

Risk.net

Further downgrades for Italy would cause its inflation-linked bonds to drop out of a Barclays Capital index, prompting mass selling by fund managers, dealers fear

Perturbed Gaussian copula: introducing the skew effect in the co-dependence

Fri, 06 Jan 2012 10:02:38 GMT

Risk.net

Perturbed Gaussian copula: introducing the skew effect in the co-dependence Gaussian copula models are often used in the industry when single-asset information is quoted but little is known about their joint relation. These models may arise from correlated stochastic Brownian processes with deterministic volatility and correlation. If stochastic volatility is introduced, skewness and fat tails can be included in the co-dependence but analytic tractability is lost. Alberto Elices and Jean-Pierre Fouque show how this analytic tractability is preserved through another copula derived from an asymptotic expansion of the correlated processes with stochastic volatility around the Gaussian copula case

Perturbed Gaussian copula: introducing the skew effect in co-dependence

Fri, 06 Jan 2012 10:02:00 GMT

Risk.net

Perturbed Gaussian copula: introducing the skew effect in co-dependence Gaussian copula models are often used in the industry when single-asset information is quoted but little is known about their joint relation. These models may arise from correlated stochastic Brownian processes with deterministic volatility and correlation. If stochastic volatility is introduced, skewness and fat tails can be included in the co-dependence but analytic tractability is lost. Alberto Elices and Jean-Pierre Fouque show how this analytic tractability is preserved through another copula derived from an asymptotic expansion of the correlated processes with stochastic volatility around the Gaussian copula case

Being particular about calibration

Fri, 06 Jan 2012 07:49:46 GMT

Risk.net

Being particular about calibration Following previous work on the calibration of multi-factor local stochastic volatility models to market smiles, Julien Guyon and Pierre Henry-Labordère show how to calibrate exactly any such model. Their approach, based on McKean’s particle method, extends to hybrid models, where interest rates are also stochastic. They illustrate the efficiency of their algorithm on hybrid local stochastic volatility models

Companies cautious on hedging in headline-driven energy markets: consultants

Wed, 04 Jan 2012 10:28:35 GMT

Risk.net

Energy-intensive companies are reluctant to pursue aggressive hedging programmes in the current market environment, where headlines are having a disproportionate effect on prices compared with the fundamentals, say consultants

Derivatives - Risk.net

Del Missier: "status quo won't work" for long-dated trades

The new normal: structurers learn to live with low interest rates

Dealers agree standard index CCDS documentation

New Prime Finance panel could tackle debt crisis disputes

Q&A: Michael Spencer on Europe, Tobin taxes, OTC reform and futures monopolies

Sponsored forum: OTC derivatives

CCIL’s Roy: CCP settlement for Indian CDS three years away

Hybrid correlation matrices

Swaps push-out a 'vast overreaction', says OCC's Walsh

Icap's Spencer: 'not a prayer' of UK agreeing to FTT

ECB in talks with dealers on buying inflation-linked bonds

Lack of long-dated instruments hampering offshore RMB market

CCPs should have last word on OTC clearing, says FOA

RBS cash equities exit could hike hedging costs

Operational uncertainty still a concern in OTC reform

Risk awards 2012: JP Morgan takes the crown

How the CCP location debate helped split the EU

Standard CSA: the dollar dominance dispute

Basel 2.5 prompts flurry of asset sales and risk transfer deals

OCC: equity derivatives to get a cross-margin service

Dealers call for ECB to buy inflation bonds as Italy faces exit from key index

Perturbed Gaussian copula: introducing the skew effect in the co-dependence

Perturbed Gaussian copula: introducing the skew effect in co-dependence

Being particular about calibration

Companies cautious on hedging in headline-driven energy markets: consultants