Derivatives
Choosing the right model for non-cleared OTC margining
When the final phase of the swaps market’s new margining regime takes effect in 2020, hundreds – possibly thousands – of buy-side firms will be hit by complex margin requirements.
How to apply Python to complex financial markets
The unprecedented proliferation of data in derivatives markets has led to a rise in popularity of Python, a multipurpose programming language known for its versatility and flexibility. Undoubtedly, the increased adoption of Python has helped enable…
Esma’s Brexit novation relief falls short
Proposed clearing reprieve too narrow to alleviate burden of mass swaps migration
Asian exotics desks need to slash risk
Time for structured products desks to curb their appetite for risk
CFTC finds harmony harder than it sounds
James Schwartz and Chrys Carey, of counsels at Morrison & Foerster, explore the impact of a recent Commodity Futures Trading Commission white paper – including how its author’s suggestions would affect cross-jurisdictional application of its regulations …
JP Morgan slashes UK exposures ahead of Brexit
Derivatives and securities exposures halved since June 2016
Rate rises, structural reforms transforming swaps market – BIS
Interest rate derivatives notionals up 13% in first half of 2018, but values collapse 12%
The traditional buy versus build trade‑off
Firms undecided between buying from a vendor or building bespoke software can look to Beacon, whose ‘buy-and-build on-top-of’ offering combines the best of both options, writes Alex Sayle, global head of platform engineering at Beacon Platform
European ETDs make scattershot progress in 2017
Almost half of equity derivative notionals executed on exchange
The initial margin challenge – Why the bang just got bigger
With uncertainty abounding as the industry heads into the final phases of implementation of the uncleared margin rules (UMR), Jean‑Paul Botha, delivery lead of financial trade documentation at Thomson Reuters Legal Managed Services, explores the…
EU derivatives market adds €55 trillion in 2017
Interest rate products account for 69% of gross notionals
SEC’s Stein sounds alarm on portfolio margining
Comment period on single-name CDSs is covert attempt at rulemaking, regulator says
Compression lessons from Japan
Chinese banks remain reluctant to compress, but Japan’s example offers succour
Transitioning beyond Libor: Some key considerations
Liang Wu, vice-president of financial engineering and head of CrossAsset product management at Numerix, explores the transition to Libor alternative rates and the impact on curve construction practices
UK derivatives market arrests decline
Gross derivatives values grow £132 billion quarter to quarter
Is Libor going away?
Amid widespread expectation that Libor will soon be discontinued, questions are being asked around whether the transitioning towards risk-free rates will prove too onerous to achieve. Christopher Dias, principal, advisory, at KPMG, explores whether the…
Risk.net podcast: DTCC’s Lind on FRTB, data pooling and NMRFs
As many as 70 banks globally could adopt internal model approach for market risk capital
Lawyers blast Basel on funding of STM swaps
'Daft' guidance would see settled-to-market derivatives caught by NSFR and LCR liquidity ratios
Interest rate ETD open interest drops in Q2
Open interest in options and futures contracts combined dropped 12%
Ibor transition valuation and risk management considerations
The impending move from interbank offered rates to alternate reference rates will require important changes to many valuation and risk management processes and infrastructure. EY Financial Services’ Shankar Mukherjee, Michael Sheptin and John Boyle…
RFR valuation challenges
A new system of interest rate benchmarks for all major currencies is emerging. These new benchmarks will replace interbank funding rates with risk-free rates (RFR). This article by LPA focuses on valuation challenges during the transitional period to new…
Polynomial upper and lower bounds for financial derivative price functions under regime-switching
In this paper, the authors present a new approach to bounding financial derivative prices in regime-switching market models from both above and below.
Swap books swell at big US banks despite lower risk profile
Total OTC derivatives notional among the eight banks is $222 trillion – a 2% increase on the quarter