Derivatives
Index-based longevity solutions continue to face challenges, experts say
Basis risk continues to worry pension funds, consultants say, despite the latest attempt by Deutsche Bank to create a flexible index-based longevity hedge
Collateral management survey 2013: collateral concerns grow
Insurance Risk’s second collateral management survey in conjunction with BNY Mellon finds more insurers are taking steps to prepare for new derivatives regulation, but concerns about collateral availability are mounting
Systematic risk factors redefined
Systematic risk factors redefined
Stuck with collateral
Stuck with collateral
Derivatives House of the Year, Asia ex-Japan – Standard Chartered
Asia Risk awards 2013 winner: Standard Chartered – Derivatives House of the Year, Asia ex-Japan
Regional Derivatives House of the Year – OCBC
Asia Risk awards 2013 winner: OCBC – Regional Derivatives House of the Year
Search for new OTC underlyings gets tougher
The history of the derivatives market has been punctuated by regular attempts to find new underlyings – never an easy task. But would-be innovators now face regulatory and political obstacles too. Lukas Becker reports
Hedge backtesting for model validation
Hedge backtesting for model validation
New derivatives rules push global banks to form subsidiaries
Structural issues
Risk interdealer rankings 2013: Brokers
Steeled for consolidation
DTCC announces executive management shake-up
The Depository Trust & Clearing Corporation has announced a shake-up of its executive management team
Exposure under systemic impact
Exposure under systemic impact
Quant Congress USA: Derivatives have had negative social utility, says Dupire
Dealers have sold products their clients did not need, says top quant – and industry must refocus on legitimate risk transfer
Insurers struggling with move to OIS discounting
Lack of consistency in dealer practices means many insurance firms are sticking with Libor discounting for now
Basel tries to create clearing pull with new capital rules
Dealers say rules for default fund exposures are an improvement, but risk weights are not tied to "real default probabilities"
Banks round on LCR approach to derivatives collateral flows
The Basel Committee decided earlier this year to include collateral outflows arising from changes in derivatives values in bank liquidity requirements. Their suggested approach, however, has worried some in the industry. By Michael Watt
Asian insurers slow to embrace central clearing
New clearing rules are not on the agenda of most insurers in Asia, but as derivatives use increases they could become more relevant. Blake Evans-Pritchard reports
Time to come clean on credit support annexes
Sponsored feature: Royal Bank of Scotland
Bafin weighing CVA charge despite European exemptions
Supervisors ‘should accept the legislation that the council and the parliament in their wisdom have decided upon’, warns MEP
Quant Congress Europe: No consensus on FVA accounting
Industry undecided on whether own cost of funds or an industry average funding spread should be used
IASB eases fears over hedge accounting for CCP novations
Standard-setter decides trades can still qualify for hedge accounting when voluntarily novated to a CCP, but experts warn wider stance on novation could cause trouble
US expected to take third way on CVA charge
Federal Reserve will not mirror European exemptions but could instead modify treatment of CVA and market risk hedges, industry sources say