ABA Calls for Further Changes to FASB Guidelines Around Held to Maturity Securities
Following the publication of the Financial Accounting Standards Board’s (FASB) final guidelines for mark to market accounting and impairment earlier this week, the American Bankers Association (ABA) has raised concerns about the need for clarification around securities classified as “held to maturity”. Although the association commends the work that has been done by the FASB,...
IndusInd Bank of India Opts for SuperDerivatives for Valuations
IndusInd Bank of India is deploying SuperDerivatives’ multi-asset derivatives pricing service. The implementation is aimed at helping it to provide rich and integrated services to clients, shorten time-to-market of new products and monitor client’s credit risk. The deployment will initially include SuperDerivatives’ interest-rate and foreign exchange modules. IndusInd Bank will use SuperDerivatives’ solution to give...
FASB to Vote on Controversial Fair Value Proposals on 2 April
Following the heavy criticism that has been levelled at the Financial Accounting Standards Board (FASB) for its failure to act on issues with fair value accounting standards, the industry body has indicated that it is now preparing for the final vote on its proposals, which were announced on 16 March. The FASB will be carrying...
Pricing Partners Talks up Jump Diffusion Models at MathFinance Conference
Valuations provider Pricing Partners told delegates to this month’s MathFinance Conference in Germany about its recent work towards achieving smart expansion and fast calibration for jump diffusion models. The vendor promoted its recent work on approximation methods using its smart expansion method to calibrate jump diffusion models to attendees to the quantitative finance event last...
Reval Opens Hong Kong Office, Appoints Marsden as Sales Director for Asia
Risk management solutions and valuations provider Reval has opened a new office in Hong Kong and appointed ex-Mergermarket sales head Will Marsden as its new sales director for Asia. The vendor, which currently has offices in Australia, New Zealand and India, hopes the new office will help it to expand its client reach further in...
Quantifi Releases New Version of Solution for North American CDS Changes
Following recent upgrades by its competition, analytics and risk management solution vendor Quantifi has released a new version of its solution to support the impending changes to the North American credit default swap (CDS) market. Rohan Douglas, CEO of the vendor, explains that Version 9.1.4 of its solution has been released to support the new...
Pricing Partners Highlights Issues with Recovery Rate Assumptions for CDSs
Valuations provider Pricing Partner has been talking up its new service aimed at providing greater accuracy around recovery rate assumptions for credit default swaps (CDSs). The vendor claims that the financial crisis has highlighted the inaccurate modelling assumptions that have been used as the basis for valuations for these credit derivatives. Eric Benhamou, CEO of...
CMA Upgrades Solutions for Changes to North American CDSs
CME Group-owned Credit Market Analysis (CMA) has upgraded its solutions set to account for the impending changes to the North American credit default swap (CDS) market. The changes, which are being introduced on 8 April and are being championed by the International Swaps and Derivatives Association (ISDA), affect the quoting conventions for single name CDS...
Markit Launches New CDS Data and Information Portal
Markit has launched a new web-based credit default swap (CDS) data and information portal, which it says is designed to increase transparency in the traditionally opaque market. The service can be used as a market monitoring tool and the data vendor indicates it includes a calculator to support the current market migration to a standardised...
SIX Telekurs Expands Instrument Coverage of Fair Value Pricing Service
Following the launch of its valuations service last year, SIX Telekurs has now expanded its coverage to include a total of 57,000 straight and zero bonds, and 27,000 floating rate notes. Version 2.2 of the Fair Value Pricing Service has been in development over the last couple of months and is aimed at providing more...