Question
Explain why when comparing futures rates to forward interest rates for the same tenor, a convexity adjustment is required. Explain why collateral requirements will increase
Explain why when comparing futures rates to forward interest rates for the same tenor, a convexity adjustment is required.
Explain why collateral requirements will increase in the OTC market as a result of new regulations introduced since the 2008 credit crisis.
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Global Banking
Authors: Roy C Smith, Ingo Walter, Gayle DeLong
3rd Edition
0195335937, 9780195335934
