Derivatives
Pushing for break-clause capital relief
Break dancing
Margin segregation
In depth: segregation introduction
Banks caught in DVA dilemma
The DVA dilemma
Analytical risk contributions for non-linear portfolios
Analytical risk contributions for non-linear portfolios
Downgrade termination costs
Downgrade termination costs
Banks want derivatives collateral included in LCR
Received collateral is currently counted towards the liquidity reserve at some large banks, but should not be included in the LCR, say sceptics, who argue the assets can't be relied upon
OCC: equity derivatives to get a cross-margin service
OCC: equity derivatives to get a cross-margin service
ETFs: moving beyond the synthetic-versus-physical debate
Under the microscope
Hybrid correlation matrices
Hybrid correlation matrices
Analytical risk contributions for non-linear portfolios
Analytical risk contributions for non-linear portfolios
Swaps push-out a 'vast overreaction', says OCC's Walsh
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
Lack of long-dated instruments hampering offshore RMB market
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
Supervisors should not be able to force clearing houses to accept certain classes of OTC derivative, says FOA's Belchambers
FIA appoints new president
Walter Lukken, chief executive of pioneering clearing house NYPC - and former CFTC commissioner - replaces John Damgard, FIA head of 30 years
Solvency II asset charges will not stop insurers funding banks
Strategic moves
Perturbed Gaussian copula: introducing the skew effect in co-dependence
Perturbed Gaussian copula: introducing the skew effect in co-dependence
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,…
Risk.net: Top 15 stories of 2011
Derivatives pricing, collateral and Basel 2.5 and Basel III are the most read stories of 2011
New Zealand: a step in the right direction
A new draft version of New Zealand’s Financial Markets Conduct Bill was published for consultation in August. The bill provides greater clarity than the previous draft and removes uncertainty – but some further tweaks are needed, says Cindy Leiw of Isda
Funding cost adjustments for derivatives
Funding cost adjustments for derivatives
CFTC’s Chilton: lessons learnt from MF Global
MF Global “new poster child for the need for thoughtful regulation" that must be "proactive, nimble, quick", says CFTC’s Chilton
Quant Congress Europe: Peter Carr introduces ‘meta-modelling’
Morgan Stanley quant tells Risk's annual European quantitative finance event that modelling assumptions should be considered in light of calibration needs - even if this leads to discrepancies
Cutting Edge introduction: the DVA debate
The DVA debate
SEC appoints two trading and markets associate directors
The US Securities and Exchange Commission has named heads of regulation for derivatives policy, and clearance and settlement