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A Note on the Impossibility of Correctly Calibrating the Current Exposure Method for Large OTC Derivatives Portfolios
The Basel Committee permits firms to use a variety of methods to calculate regulatory capital... Read more A Note on the Impossibility of Correctly Calibrating the Current Exposure Method for Large OTC Derivatives Portfolios
Documents (1)
Concentration of OTC Derivatives among Major Dealers
(Number 4, 2010)
Documents (1)
The Economic Role of Speculation
(Number 2, 2010) Research Note / Press Release
Documents (2)
The Value of a New Swap
(Number 3, 2010) Research Note / Press Release
Documents (2)
The Importance of Close-Out Netting
Close-out netting has reduced over-the-counter derivatives credit exposure by over 85%. Without the benefits of... Read more The Importance of Close-Out Netting
Documents (1)
The Empty Creditor Hypothesis
(Number 3, 2009) Research Note / Press Release
Documents (2)
2009 Derivatives Usage Survey; OTC derivatives in Russia
(Number 2, 2009)
Documents (1)
Transparency and over-the-counter derivatives
(Number 1, 2009)