This Introduction to the newly published Collateral and Financial Plumbing provides a summary of the book, and provides an angle on the world of finance that was already in existence, but not widely understood by many finance professionals. Written by the leading authority on collateral, Manmohan…
In this paper, we will examine model validation as it is typically practiced today and then explore new approaches, including the benefits of testing with mathematical identities.
We will begin this paper with a discussion of the basics of OIS discounting and FVA for OTC derivatives—and then explore the relationship between the two concepts. We will also look at a case study that highlights the potential impact of FVA on trade profitability.
In this paper, we will examine the most common types and sources of model risk, and then outline best practices that practitioners can utilize in their model validation processes.
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives. The revised “near-final” draft of requirements would be phased in from 2015 to 2019, impacting the largest entities first, with the…
Through centuries of financial innovation, experimentation, and standardization, dependable collateral has been consistently used to effectively mitigate the credit risk of financial transactions.
The global financial crisis has created much excitement over counterparty credit risk (CCR) and, in recognition of this, banks have been improving their practices around CCR. Download this white paper to find out more.
This paper describes the current state of UK mid-cap indexing and gives an overview of how the Russell UK Mid 150 Index will help provide larger capacity, quicker trading than of existing products in the marketplace.
Insurance Risk’s second collateral management survey in conjunction with BNY Mellon finds more insurers are taking steps to prepare for new derivatives regulation, but concerns about collateral availability are mounting
This paper illustrates the challenges and complexities financial institutions face in hedging Credit Valuation Adjustment (CVA) and Debit Valuation Adjustment (DVA) in the present market and regulatory environment.