Overnight index swaps
Risk institutional investor rankings 2011
A guiding light
BNP Paribas takes €108 million hit on swaps after switch to OIS discounting
French bank becomes the latest to divulge a revenue impact from a change to overnight indexed swap discounting
Multi-currency CSA chaos behind push to standardised CSA
The evolution of swap pricing
Funding and pricing OTC derivatives proves treacherous in Australia
Treacherous path ahead
A practical challenge for collateral optimisation
Collateral conundrum
South Africa
South Africa special report
Behind the curve
Behind the curve
Multi-currency CSA chaos behind push to standardised CSA
The evolution of swap pricing
Quant of the year: Vladimir Piterbarg, Barclays Capital
Risk awards 2011
Clearing house of the year: LCH.Clearnet
Risk awards 2011
In-house system of the year: Advanced Repo Curves, Barclays Capital
Risk awards 2011
Choice of collateral currency
Choice of collateral currency
A Libor market model with a stochastic basis
A Libor market model with a stochastic basis
Post-shock short-rate pricing
Post-shock short-rate pricing
Perfecting prices
Perfecting prices
LCH.Clearnet re-values $218 trillion swap portfolio using OIS
Changes in valuation were “relatively small”, says clearing house
Funding valuation – a clear and present future
In this roundtable, three leading swaps dealers discuss the changes in derivatives pricing – and in particular, the use of OIS as a discount rate for collateralised derivatives trades.
The price is wrong
As the basis between Libor and overnight index swap rates ballooned during the credit crisis, banks were forced to reassess methods for pricing collateralised and uncollateralised derivatives trades. The result is a move towards a new market standard in…
Interview with Vladimir Piterbarg
Vladimir Piterbarg talks about his new article published in the Cutting Edge section of Risk magazine
Funding beyond discounting: collateral agreements and derivatives pricing
Standard theory assumes traders can lend and borrow at a risk-free rate, ignoring the intricacies of the repo and collateralisation markets. Here, Vladimir Piterbarg shows that these force adjustments to discounting, forward prices and implied…