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PART n THE USE OF DERIVATIVES AND THEIR RISKS
The Risk of Derivatives
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6-month LIBOR 6-month T-bill ABC Bank Acme Actual Scenario amount annum assets audit basis points BMOC bonds borrowing cash flows clearinghouse commodity Corporation cost of funding counterparty credit exposure debt default derivatives contracts derivatives transactions Deutsche marks dollar effective ELMO Corporation ensure equity Eurodollar futures example exchange rate exchange-traded derivatives financial engineering firm floating rate loan floating-rate foreign currency foreign exchange forward contract forward-based derivatives futures contract futures price gallon Global Derivatives Study hedge interest rate risk interest rate swap investment investors January 28 legal risk LIBOR market risk monitoring mortgage offset operational risk option-based derivatives options OTC derivatives party policies position potential exposure premium price of oil price risk procedures purchase risk exposures risk factors risk management function risk management process sell senior management settlement risk spot price strike price swap dealer swaption T-bill futures contract Treasurer underlying users value at risk volatility