OTC Derivatives and Counterparty Risk
Over-the-counter (OTC) derivatives are important financial transactions that allow hedging of interest rate, foreign-exchange and other risks...Jan 27, 2022 12:58:09 PM / by Jon Gregory
The World’s Top Authority explains Derivatives and Counterparty Risk
Derivatives can be complex and potentially high-risk financial instruments. The purpose of this post is to help you better understand their key..Jan 27, 2022 10:11:13 AM / by Jon Gregory
How Covid-19 has made the Stock-Bond Correlation Key
The correlation between the returns on stocks and default-free government bonds determines a crucial part of the scope for portfolio diversification..Sep 29, 2021 4:32:18 PM / by Henrik Lumholdt
Fixed Interest Attribution – Towards a Generic Model? (Part 1)
Sep 8, 2021 12:49:47 PM / by Paul Giles
The Role of Default Dependency in a World of Rising Debt
In this article, we discuss:Jul 9, 2021 4:59:26 PM / by Andreas Steiner
Modern Derivatives Pricing – CSA Discounting
May 19, 2021 1:23:34 PM / by Richard Fedrick
Modern Derivatives Pricing – Collateral, Funding and OIS Discounting
May 19, 2021 1:13:13 PM / by Richard Fedrick
Interest Rate Derivatives Discounting – What it is and What it isn’t
May 19, 2021 1:06:29 PM / by Richard Fedrick
Does the FRTB ensure that capital reflects trading risk?
I recently spent an enjoyable few days leading seminars on the Fundamental Review of the Trading Book (FRTB) with a financial supervisory authority...May 19, 2021 12:55:46 PM / by Dr Simon Acomb