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Mastering Derivatives Markets, 4th Edition by Francesca Taylor

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8

Benchmarking in the OTC Derivatives Markets

Penny Davenport, Managing Director, Markit Document Exchange and Gavan Nolan, Vice-President, Credit Research, Markit Group

‘Firms require an independent assessment of their financial positions to submit to desk heads, senior management and in many cases, their regulators’.

Financial benchmarking for derivatives

Liquidity benchmarking for derivatives

Operational risk measurements for derivatives

Conclusion

The term ‘benchmarking’ is used in many different ways in the financial markets. This chapter focuses on two different types of benchmarking: frequent comparisons of a market composite price to a firm’s own financial data, and reporting of operational statistics as risk measurement for regulators ...

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