Derivatives
Collateral option valuation made easy
Vladimir Sankovich and Qinghua Zhu develop a method to value cheapest-to-deliver option embedded in CSAs
The Clearing House takes aim at CCP risk governance
Banks call for audit trails and beefed-up role for risk committees
Regulatory and supervisory deference in the context of Australia’s over-the-counter derivative trade reporting and derivative trade repositories regimes
This paper provides an Australian regulatory perspective on the over-the-counter landscape and shows how regulatory deference can play a facilitating role in the cross-border context.
SGX mothballs US dollar swap clearing
Insufficient demand causes service to cease – however exchange says it may reintroduce it later
Citi ousts Asia head of clearing, and other recent job news
Job changes in the derivatives, regulation and risk industry throughout Asia
Increased legal entity identifier issuance improves reporting
Growing LEI issuance has improved reporting, but what comes next?
Deutsches Risk Rankings 2015
Commerzbank tops Deutsches Risk rankings for second year in a row
Q&A: Visco of Bank of Italy on bank reforms and supervision
Splitting off prop trading would ‘complement’ EU resolution regime
Taiwan fines BNPP and Deutsche for unlicensed derivatives sales
Six months earlier Barclays was given 12-month ban for same offence
US propane retailer hedges to offer customers stable prices
Michigan's Crystal Flash struggles with basis risk and volatile weather
Counterparty concerns slow family office derivatives use
HNWs got burnt in the Lehman crisis and are still cautious over exposures
China derivatives market growth lags economic development
While GDP growth has been spectacular, derivatives growth is muted
Moody's correct on swaps bail-in risk – Risk.net poll
Nearly 90% say agency is right to assume swaps won't be bailed-in
Greek bank holiday sparks swaps contract chaos
Extended bank closure leaves derivatives payments by end-users in limbo
Taiwan banks challenged by post-Tarf loss regulations
Crackdown on "high risk" derivative products drives up dealers' costs
Q&A: Bursa Malaysia looks to develop domestic equity derivatives
Chong Kim Seng, CEO of the exchange's derivatives arm, explains why growth has been slower than expected
BoE warns banks on derivatives booking practices
Dealers must simplify if there is "no coherent rationale" to structures
China exchange growth signals move east in commodities trading
Growth in onshore futures market marks change in derivatives landscape
Big data and cloud computing are banks' next tech challenges
Bank technology needs continue to evolve
StanChart and BNPP head Asia corporate and institutional rankings
Volatility returns in 2015 making forex and commodity markets tricky
Greeks with continuous adjoints: fast to code, fast to run
Marzio Sala and Vincent Thiery show the derivation of the continuous adjoint problem for PDEs
Managing data still biggest technology challenge for Asia banks
Data has been a problem for the past two decades for firms in the region
Ferc manipulation cases put limits on US power traders
Costly fines deter firms from employing cross-market strategies
Video: FCStone calls for balance in capital and margin rules
Dodd-Frank rules must balance stability and market liquidity, says global head of risk