Clarus Microservices make it very easy to create Dashboards Dashboards that perform new risk calculations (not just display old ones) Interest rate risk measures such as DV01 and IR Delta can be calculated Tables, Charts, Panels can be easily created with a single line of Python code Our Browser Sandbox allows you to try yourself Introduction […]

My monthly Swaps Review in Risk Magazine looks at global cleared volumes by CCP in 1H 2018 compared to 1H 2017 for: USD IR Swaps, EUR IR Swaps, JPY IR Swaps CDS Index and Single-name, USD and EUR Non-Deliverable Forwards Showing strong growth in all of these, except one. Please click here for free access […]

We saw record cleared volumes in vanilla IRS in June 2018. We take a look at the data behind these records. SDR data covers 60% of cleared volumes in USD swaps. SDR data also covers non-USD swaps and we quantify exactly what proportion of the market it covers. Introduction With MIFID data soon to be […]

Introduction A core component of managing bilateral exposures is CVA – Credit Valuation Adjustment. The grandfather of all XVAs, it describes the change in exposure we have to a counterparty as a result of changes in both the mark-to-market of a derivative and the change in credit-worthiness of our counterparty. Today, we’ll look at the […]