Free content

Initial margin is now more important than ever to participants in the over-the-counter derivatives markets because it touches many areas of the transactional process including marketing, credit, legal, operations and funding.

Equity-linked notes are popular instruments in the over-the-counter equity derivative market.

Exponentially weighted historical simulation (EWHS) puts a portfolio through a series of historical scenarios with heavier weightings given to more recent events.

The four principal U.S. banking regulators (the Federal Reserve Board, Office of Thrift Supervision, Comptroller of the Currency and Federal Deposit Insurance Corporation; collectively, the "Agencies") proposed on March 8 important changes to their risk-based capital standards that could affect the market for--and pricing of--securitizations and related credit derivatives.

Despite the growth of exotic-type options, some of the most basic hedging strategies are still popular as they fulfill basic hedging needs in a simple and effective way.

If value at risk forecasts based on an internal market risk model, such as M, are used in practice, it is of crucial importance to know whether M's forecast quality is sufficiently high to be relied on.

In this article we survey alternative models of default.

Over the past 10 years, the market for equity derivative-linked structured products in the U.K. has grown dramatically in size and sophistication.

This is the third of three articles regarding a heuristic approach to measuring counterparty credit risk. In the first part, author Robert Garzotto explained the approach broadly.

This is the second of three articles regarding a heuristic approach to measuring counterparty credit risk.

This is the first of three articles regarding a heuristic approach to measuring counterparty credit risk.

Convertible bonds (CBs) can be awkward beasts. In this Learning Curve we will wrestle with a question that has been controversial, namely--what discount rate should be used in valuing CBs?