Search Results - subject:"ISDA"

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The end of LIBOR : on interest rate benchmark reform, alternative risk-free rates, IBOR fallbacks, LIBOR cessation and transition

Read, Oliver; Beißer, Jochen - 2021

Persistent link: https://www.econbiz.de/10013331113

The End of LIBOR: On Interest Rate Benchmark Reform, Alternative Risk-Free Rates, IBOR Fallbacks, LIBOR Cessation and Transition

Read, Oliver; Beißer, Jochen - 2021

other IBORs, ISDA developed an IBOR Fallbacks approach on the basis of term and spread adjusted Risk-Free Rates. Bloomberg … started daily calculations of fallback rates for covered IBORs on 21 October 2020. An ISDA supplement and a protocol for new … all LIBOR settings was declared by IBA and the FCA on 5 March 2021 triggering an index cessation event under ISDA. Some …

Persistent link: https://www.econbiz.de/10013439921

Sovereign credit default swaps : Managing risks when the fiscal house rumbles

Rajaratnam, Indra - In: Journal of risk management in financial institutions 16 (2023) 4, pp. 409-426

Persistent link: https://www.econbiz.de/10014441050

A new approach to close-out netting legal opinions in respect of OTC derivatives and securities financing transactions

Datoo, Akber; Williams, Paul; Whiteley, Rhodri - In: Journal of securities operations & custody 15 (2023) 3, pp. 260-277

Persistent link: https://www.econbiz.de/10014320185

LIBOR fallback and quantitative finance

Henrard, Marc Pierre - In: Risks 7 (2019) 3, pp. 1-15

paramount. In recent months, several consultations have taken place on the subject. The results of the first ISDA consultation …

Persistent link: https://www.econbiz.de/10013200506

LIBOR fallback and quantitative finance

Henrard, Marc Pierre - In: Risks : open access journal 7 (2019) 3/88, pp. 1-15

paramount. In recent months, several consultations have taken place on the subject. The results of the first ISDA consultation …

Persistent link: https://www.econbiz.de/10012126483

CDS Returns

Augustin, Patrick; Saleh, Fahad; Xu, Haohua - In: Journal of economic dynamics & control 118 (2020), pp. 1-27

Persistent link: https://www.econbiz.de/10012503412

Pricing a collateralized derivative trade with a funding value adjustment

Hunzinger, Chadd B.; Labuschagne, Coenraad C. A. - In: Journal of Risk and Financial Management 8 (2015) 1, pp. 17-42

The 2008 credit crisis changed the manner in which derivative trades are conducted. One of these changes is the posting of collateral in a trade to mitigate the counterparty credit risk. Another is the realization that banks are not risk-free and, as a result, cannot borrow at the risk-free rate...

Persistent link: https://www.econbiz.de/10011843251

Pricing a Collateralized Derivative Trade with a Funding Value Adjustment

Hunzinger, Chadd B.; Labuschagne, Coenraad C.A. - In: Journal of Risk and Financial Management 8 (2015) 1, pp. 17-42

Persistent link: https://www.econbiz.de/10011133885

Pricing a collateralized derivative trade with a funding value adjustment

Hunzinger, Chadd B.; Labuschagne, Coenraad C. A. - In: Journal of risk and financial management : JRFM 8 (2015) 1, pp. 17-42

Persistent link: https://www.econbiz.de/10011552865