Interest Rate Derivatives
69 white papers and resources
Risk Library offers a wide range of interest rate derivatives white paper, industry report and legal briefings which consider current issues, thinking and market conditions. An interest rate derivative is a derivative that gives an investor the right to buy or receive money at a certain interest rate in the future. Interest rate derivatives are used to circumvent the risk and uncertainty attached interest rates.
LIBOR Alternative Rates - The Transition and the Future of OTC Derivatives Pricing and Curve Construction
The development of new references rates alternative to LIBOR are expected to have direct consequences for derivatives contracts, particularly for those that do not mature until after 2021. This white paper discusses these issues and the preparations derivatives market participants should consider…
Packing the overnight bag: risk-free rates after Libor
This white paper explores the areas that will most likely be affected by the replacement of Libor with new benchmarks. It further proposes solutions on how to make the transition easier as well as more cost-efficient.
LIBOR: Its Astonishing Ride and How to Plan for Its End
This white paper provides an overview of LIBOR’s history, what’s motivating its disappearance, the implications for legacy contracts, and what is important when preparing for 2021.
The Acceleration of Emerging Market Swap Clearing
This white paper addresses the reasons driving voluntary clearing of emerging market swaps, including the counterparty, capital and operational efficiencies.
The IFF China Report 2016: Insight and opinion from China’s top leaders, policy-makers and financiers
This report, drafted by the International Finance Forum and published in association with Central Banking, provides readers with a unique insight into the inner workings of China's economic development and financial reform.
Managing a Matching Adjustment portfolio
This white paper focuses on the cash flow matching approach to portfolio management; how interest rate derivatives can be used within that process; and where the investment manager can add value for its insurance clients.
Negative Rates: The Challenge and the Opportunity
Negative interest rates have recently become a critically important issue in finance, as they impact some of the most basic calculations and procedures used by the financial community. Two prominent examples are the quotation of option volatilities and volatility smile interpolation models.
Risk management in exotic derivatives trading : Lessons from the recent past
This white paper presents a particular occurrence of this issue on the interest rate market, extends it to commodities, and details some risk management techniques that could have been used in order to avoid losses.
The Free Boundary SABR: Natural Extension to Negative Rates
This white paper describes one such extension of the widely used SABR model. We stress that our solution is more natural and attractive than the shifted SABR. An exact formula is derived for the option prices in the case of zero correlation between the rate and its volatility. For nonzero…
OTC IRS Portfolio Optimisation: how trade compression could save funds $mlns before the 2016 European Clearing Mandate strikes
This white paper describes a new approach to trade compression that allows fund managers to reduce the costs of swap clearing by up to 80% by eliminating excess gross notional from their books. The aim is to increase both trading and clearing efficiency in advance of the impending 2016 European…