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Eurex plans hedging contest in default auction revamp
New step in the default management process would enhance transparency in hedge provider selection
Building forward-looking scenarios: why you’re doing it wrong
Rick Bookstaber and colleagues describe a process for constructing effective scenarios
Risky caplet pricing with backward-looking rates
The Hull-White model for short rates is extended to include compounded rates and credit risk
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HSBC’s Asia RWAs up $22.9 billion in H1
Asia accounts for 47% of total RWAs as reallocation strategy gathers steam
Editors' choice
Term SOFR gets cautious blessing for derivatives
ARRC use cases for forward RFR could accelerate derivatives' availability, though dealers must warehouse basis risk
Big Figure
Capital gains
Capital One’s Tier 1 leverage ratio increased by 70 basis points in the second quarter as the bank’s capital growth outpaced rises in exposures. Tier 1 capital rose 6.3% to $50.9 billion over the second quarter, faster than the 0.6% expansion in adjusted average assets, the leverage ratio’s denominator, which hit $411 billion. This boosted leverage adequacy to 12.4%, up from 11.7% the previous quarter.
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Risk Management
Eurex plans hedging contest in default auction revamp
New step in the default management process would enhance transparency in hedge provider selection
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