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Cleared Interest Rate Swaps


Feb 18, 2014 - 6:30pm to 7:30pm


Life Sciences 129


Yuhua Yu, Ph.D.
Head of Quantitative Research
DRW Trading Group


The central clearing mandate of the 2010 Dodd-Frank law has a fundamental impact on the interest rate swaps market, the most traded OTC derivative. It took the regulators a long time to implement the rule and the mandate didn't take effect until June 2013, with many months, if not years, left in future for the industry to adjust to the new world. We will discuss two key words arising from this change, "SEF" and "Futurization". For the latter we will delve into a bit more details to discuss the challenges and solutions in trading a swap like a future contract.

Event Type: 

Professional Mathematical Finance Seminar