Derivative products

Financial Pipeline’s website offers basic definitions of derivatives as well as descriptions of various aspects of operating a derivatives business. The William Margrabe Group and NumaWeb provide discussions and links on more advanced topics. Finally, DerivativesModels.com offers access to on-line derivatives pricing models.

Derivatives data sources

Price data. Current (live) data are available only to paid subscribers to data providers such as Bloomberg or Reuters. More information on how to obtain historical data can be found here: ISDAFIX swap rate benchmark.Derivatives Week makes some swap rate and yield curve information available to their subscribers. Markit provides data on credit derivatives indexes.

Other sources of relevant data include the Federal Reserve data releases, the British Bankers Association historical Libor data, and the European Banking Federation’s historical Euribor data.

Volume data. The results of the semiannual ISDA Derivatives Market Survey of notional amounts outstanding are available on the ISDA website in PDF format. In addition, the Bank for International Settlements offers two types of volume data: One is their Regular OTC Derivatives Market Statistics, compiled semiannually from bank regulatory reports; the other is their Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity. Finally, the United States Office of the Comptroller of the Currency publishes a Quarterly Derivatives Fact Sheet, with derivatives statistics based on U.S. bank and bank holding company financial reports.

In Fall 2008, the Depository Trust and Clearing Corporation began publishing notional amounts of credit default swap transactions registered in its Trade Information Warehouse. The data, which are updated weekly, include notional amounts outstanding as well as weekly changes in notional amounts of single-name, index, and tranche CDS transactions. The data also include gross and net notional amounts of bought and sold protection on each of the 1,000 largest reference entities.

Policy and regulation

The Basel Committee on Banking Supervision section of the Bank for International Settlements website contains regulatory documents and research. It is particularly useful for information on the deliberations surrounding the Basel Capital Accord.

For the United States, the Board of Governors of the Federal Reserve System and the twelve Federal Reserve Banks publish research in financial policy issues as well as macroeconomic research. For other countries, there are links to other central banks in the BIS website.

For a refutation of recurring criticisms of derivatives, see Thomas Siems's 10 Myths About Financial Derivatives, published by the Cato Institute in 1997.

Risk management

Websites with educational content and extensive links to other sites include All About Value at Risk for market risk management and VAR, Defaultrisk.com for credit risk, and The William Margrabe Group and NumaWeb for derivatives in general.

Professional organizations offering individual memberships include the Professional Risk Managers' International Association, the Global Association of Risk Professionals, and the International Association of Financial Engineers.

The International Financial Risk Institute's Riskinstitute.ch website includes case studies, an extensive glossary, and links to regulatory documents.

The RiskMetrics Group website offers access to RiskMetrics and CreditMetrics data and publications.

 The above list is not exhaustive. To learn about other sites, we suggest you explore the links in the above websites or use any Internet search engine. Suggestions are welcome.