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The Leaders’ statement issued after the G-20 meetings in Pittsburgh in September 2009 included the following paragraph: “ All standardized OTC derivative contracts should be traded on exchanges or electronic trading platforms, where appropriate, and cleared through central counterparties by end-2012 at the latest. OTC derivative contracts should be reported to trade repositories. Non-centrally

An article I authored, “ Thinking ‘Out of the Box’ – Building on Off-the-Shelf Solutions,” was recently published on Tabb Forum. In the article I review the common challenges that tech leaders at financial organizations encounter as they decide whether to build their trading and risk systems in-house, or turn to a vendor with off-the-shelf products. To identify the solution that is right for your

At FINCAD, we’re focused on helping quants, traders, portfolio managers and risk managers make better investment decisions and improve their returns. One way we do this is through offering regular, educational webinars that address key challenges in the derivatives space. Here is a rundown of some of our recent webinars, and links to view them on-demand in case you missed them: 1. How to Solve the

In the conluding interview of FINCAD’s interview series, John Hull, PhD and Alan White, PhD opine on how buy-side firms can best prepare for unexpected phenomena like OIS, negative rates and the LCH-CME basis. “Before the crisis, we could adopt the position that banks were essentially riskless. Post-2008, it has become clear that this not the case,” commented White. “As a result, banks could no

In this blog we continue our discussion of valuation adjustments by discussing the funding value adjustment (FVA). This is an adjustment to the value of a derivatives portfolio for the cost of funding the derivative positions. To illustrate how it might arise suppose that a derivatives dealer, Dealer A, has entered into a five-year interest rate swap with a corporate end user where it is receiving