Interest Rate Risk


	These articles are taken from the Interest Rate Risk supplement to the September 2000 issue of Risk magazine published by
© Risk Waters Group Ltd. Printer friendly versions of these articles are available. There is a link on each page.
Please direct any editorial comments and suggestions to Matthew Crabbe mcrabbe@riskwaters.com

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COMMENT
On rate alert

SURVEY
Swaps volumes see euro wane
Risk has compiled an exclusive survey of dealing volumes and brokerage costs for interest rate swaps among the leading dealers

ROUND TABLE
The quest for more tailored solutions
Clients are becoming increasingly demanding, while electronic platforms are driving down transaction costs

Bruce Usher, Treasury
Connect

ELECTRONIC TRADING
Online platforms battle for business
Electronic trading platforms are changing the way interest rate swaps traders do business

MODELS
Similarities and differences
A comparison of spot, forward and market models shows that each has a different method of constructing the effective volatility function that determines its use

BGM MODELS
Modelling without tears
BGM models can provide a simple building-block approach to pricing interest rate options using forward Libor volatilities and the yield curve