Derivatives
297 white papers and resources
Risk Library provides derivatives white papers which consider current issues and thinking, market conditions and how derivatives can be used to their best effect. In Business, a derivative is a form of contract where its value is derived from the value of underlying assets. Derivatives can be used to both hedge risk and for speculation. The most common types of derivatives are futures, options, forwards and swaps.
Equity Market Pulse, Issue 4 - Q2 2015
This white paper - driven by proprietary data and analytics - provides insights into the global equity market fundamentals and performance. Spanning developed and emerging markets in the Americas, Europe, and Asia, it provides perspective on fundamentals, valuations and investment strategy…
Navigating the Murky Waters of Initial Margin for OTC Derivatives
This white paper looks at a breakdown of the different regulations for non-centrally cleared trades, how the new IM requirements affect the OTC derivative markets participants, IM based methodologies, the potential issues of the new sanctions and how to manage the ambiguities around IM.
Evaluating the Operational and Market Risks for Complex Energy Portfolios and New Energy Investments Optimisation
Evaluating the Operational and Market Risks for Complex Energy Portfolios and New Energy Investments Optimisation in Europe employing the Power of Hybrid Integrated Modelling. Today, it is widely accepted that the Global Community is facing significant challenges in the energy sector that stem from…
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…
Reducing the Risk of Using Financial Models
At their core, institutional financial markets exist to transfer risk. Whether via corporate lending, equity ownership or the creation and sale of structuredcredit derivatives, financial firms work to shuffle around different forms of risks—from those looking to mitigate it to those looking to take…
Clearing the Hurdles to Meaningful Trade Reporting
When the new derivatives rules established trade reporting as one of the key goals, regulators assumed that this would unlock the door to market transparency and the ability to monitor systemic risk. While much progress has been made, as trades flow into the trade repositories, it is widely…
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…
Emerging initial margin requirements
Ongoing market uncertainty over the new and evolving margin regime for non-cleared over-the-counter derivatives has drawn many questions from firms, with too few reliable answers. This global survey – conducted by Risk and sponsored by IBM – is one of the first,comprehensive attempts to shed some…
Cloud computing and Solvency II
The computational requirements of Solvency II are driving the need for more computing power and data storage to be accessible on a scalable basis. Early adopters are leveraging cloud computing for their Solvency II implementations, while others are taking a more cautious approach, waiting for the…