Valuation
Swaptions CCP basis arrival raises wider valuation questions
Halting rollout of new prices highlights potential weak points in valuing illiquid products
Euro swaps market faces loss of key basis hedge
New Eonia/Euribor swaps will be barred from 2020 if Eonia fails to comply with EU benchmark rules
Quants needed: how finance can use power of quantum tech
New machines have big potential in AI, valuations and VAR, but tech giants like IBM need help from practitioners
Asia Risk Congress 2017: The new XVA challenge
Video interview: Fabio Mercurio, Bloomberg
Upholding values: bondholders demand resolution transparency
Banco Popular case could have wider implications for future bank bail-ins
A model for the valuation of assets with liquidity risk
This paper describes a model for the valuation of assets on a bank balance sheet with liquidity risk. It applies the model to single cashflows, loans, bonds and derivatives. In addition, the calibration to London Interbank Offered Rate basis spreads is…
Asian buy side faces non-cleared margin currency penalty
Global banks charge premium for accepting local securities instead of major currencies
Totem extends pricing data to 10-year repos
IHS Markit service set to help banks with funding and swaps valuation concerns
Efficient valuation of equity-indexed annuities under Lévy processes using Fourier cosine series
This paper proposes an efficient algorithm to value two popular crediting formulas found in equity-indexed annuities – APP and MPP – under general Lévy-process-based index returns.
Falling margins force energy firms to expand data use
Verification and model challenges arise as volatility and margins dry up
The price is still wrong: banks tackle bond CSA discounting
Diverging Eonia and European repo rates spur banks to look at valuations of swaps with bond collateral
Dealers predict ‘softening’ of NSFR in Europe
Some banks' pricing already assumes rule will be watered down
BoE: Libor reform needs swaps market support
“The dependence on term Libor fixings remains an unnecessary vulnerability,” writes BoE’s Salmon
'Cherry-picking' claims fly in CSA rate floor negotiations
Traders accused of self-interest in negative rate floor discussions
Strong banks, weak stocks: should regulation share the blame?
Analysts say regulatory risk plays a part in weak bank valuations and wobbly prices
The double default value-of-the-firm model
This paper analyses whether the double default treatment under Basel II is appropriate to capture the asymmetric relationship between an obligor and its guarantor.
Dealers overpricing CLNs, research suggests
Information asymmetry and illiquidity driving up prices
Beyond Libor: what reform plans mean for swaps users
Big bang still an option in plans to propagate new benchmarks
Small banks face rate options valuation model change
Negative rates causing pricing model rethink
Cutting edge introduction: Expanding collateral options
Two RBC quants propose a way to value CSAs with more than two currency posting options
Totem poll: users of Markit service call for change
Libor-like consensus methodology creates bad incentives, clients fear
Noble Group defends off-balance sheet inventory deals
Firm’s treatment of optional commodity inventory sales is appropriate, CEO says
Evolving reporting/valuations in $2.8trn fund admin survey
National regulator AIFMD validation checks said to be neither uniform nor consistent
Quant ideas: Do we need realistic models?
Realistic models not necessarily a prerequisite for successful risk management