Buyside wrestles with OTC derivatives valuation

Jeweler's loupe
By Daniel O'Leary
21 Aug 2014

Buyside participants, in particular insurance firms and pension schemes, have not adequately invested in risk management infrastructure and are not pricing their derivatives exposures or collateral charges effectively in light of new rules and accounting standards.

According to a senior official at an insurance firm in New York, the buyside lacks the capability to effectively price trades that take into account counterparty risk and credit valuation adjustments. Sellside firms in contrast have invested heavily in quant desks, compliance teams and front and back office ...

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