OIS discounting
Lack of local currency OIS markets problematic for Asia banks
The move towards OIS discounting is proving difficult enough for banks in US and European markets but firms in Asia are facing the added difficulty of a dealing with multiple currencies
The secret history of the OIS discounting bonanza
The Wild West
Goldman and the OIS gold rush: how fortunes were made from a discounting change
As the Street adapted to overnight indexed swap discounting, some desks are said to have booked profits running into the hundreds of millions of dollars – earning grudging praise, or just grudges, from their peers
Flexible technology needed to respond to regulatory change, says Fincad
Regulatory change will force firms to alter their behaviour, and their technology platforms need to keep pace
Cutting Edge introduction: The collateral currency convexity problem
The collateral currency convexity conundrum
Isda AGM: Industry to address negative interest rates under CSA
Industry group will launch a best practice document confirming that negative interest rates apply under CSA
Libor/OIS spread challenges insurers' risk management programmes
Spread carefully
Uncleared margin rules could hold back new CSA adoption
New proposals on the margining of uncleared derivatives trades could dampen take-up of the standard CSA
New standard CSA could be hurt by WGMR rules
Some dealers have started trading under the standard credit support annex, but a requirement in new uncleared margin rules could subject many trades to a haircut, potentially causing a re-think. By Matt Cameron and Nick Sawyer
OIS discounting dilemma for the buy-side
Discounting dilemma
New risk-free rate calculation for long-term guarantees test
Higher credit risk adjustment to reflect current market conditions
Risk awards 2013: Credit Suisse wins top house
Swiss bank recognised for reshaping its trading businesses in 2012, as Risk publishes its fourteenth annual awards
Risk awards 2013: The winners
Keeping up
Multi-curve hedge accounting models
Multi-curve hedge accounting models
Replacing VAR, OIS discounting and the future of quant finance – the top stories of 2012
The Basel Committee’s proposal to scrap VAR and the move to OIS discounting struck a chord with Risk.net readers in 2012
Risk software survey 2012
Coping with complexity
Risk technology rankings 2012
Breaking the banks?
The basis goes stochastic
The basis goes stochastic
New standard CSA to launch before end of the year
New standard CSA aims to reduce valuation disputes by eliminating the embedded optionality that exists in the current document
Sponsored video – OIS discounting for derivatives
Calypso’s David Kelly talks about some of the challenges posed by the OIS discounting of derivatives transactions
Quant Congress Europe: Collateral choice will cause price fragmentation, says Piterbarg
Ability to choose eligible collateral within CSAs means unique prices for the most vanilla derivatives could become a thing of the past, says Vladimir Piterbarg
Traders close ranks against FVA critics
Traders v. theorists
Regulation to hit bank profitability - Risk survey
Dealers expect new rules to hit the profitability of their business, but fewer expect to be able to pass the costs along – and more are anticipating a big drop in OTC trading volumes