Derivatives
Industry friction on initial margin model backtesting
NFA said to have set 10-day standard; other regulators applying different approach
Industry faces crunch time on Simm enhancements
If the required new risk factors are not added on time, firms may face a more punitive look-up grid
Dealers split over competing repack standardisation efforts
Rival initiatives aim to standardise documentation for repackaged bond investors
A map of collateral uses and flows
This paper provides insights into the increased demand for collateral, the reduced capacity for banks to act as collateral intermediaries and examples of risks and vulnerabilities in collateral flows.
Gap risk KVA and repo pricing
Wujiang Lou introduces a reserve capital approach to the hedging error in the BSM model
Non-cleared margin transfer rules vex asset managers
Market split on whether MTA applies at the client or account level
An imperfect solution: Derivatives create new challenges for buy side
Sponsored survey analysis: Calypso Technology
Plastics hedging rising amid US chemical industry boom
Several obstacles limiting potential growth, say plastics market participants
Interdealer brokers consolidate to survive
Four of top five firms in this year's rankings are involved in deals
The role of collateral in supporting liquidity
This paper focuses on the use of high-quality assets for collateral purposes.
Managing the alphabet soup of XVAs
Sponsored webinar: Calypso and Quaternion
Interest rate models enhanced with local volatility
Lingling Cao and Pierre Henry-Labordère implement Dupire's local volatility in interest rate models
Technology: banks start thinking inside the box
Monolithic capital markets systems are giving way to microservices, containers and APIs
Cat bonds can help combat the systemic risks of CCPs
Bonds could pre-fund CCP default funds and higher margins during market stress, authors argue
TLAC subordination requirements loom in Europe
EC favours excluding derivatives from MREL and taking French approach to subordination
Bond funds use derivatives to buy time for bargain hunting
Buy side turning to ETFs and CDSs to meet exposure targets, switching them for bonds later on
Mifid speeds drive towards regional swaps-booking models
Brexit adds impetus for decentralisation of booking hubs to Asia
Deriving derivatives
Andrei Soklakov shows how to incorporate traditional investment ideas and clients’ views into structured product design
MVA transfer pricing
Wujiang Lou extends liability-side pricing theory to initial margin
Risk España Rankings 2016
Global banks advance in the scramble for supremacy
Firms leaving the uncleared swaps market have nowhere to go
Buy side says cleared or listed products fail to meet their needs
BoE's Sonia fixation complicates secured rate transition
Bank's continuation of Sonia could jeopardise shift to secured rate as Libor replacement
Interview: ECB’s Benoît Cœuré on CCP capital and stress testing
"I would be very much in favour of the concept of a Pillar 2 for CCPs", says CPMI chair
Dealers disagree over charge for CCP counterparty risk
Fed stress tests push US banks towards charging CVA for cleared derivatives