Following risk management failures in the financial crisis, Japanese variable annuity providers’ new VA offerings include conservative investment objectives and sophisticated hedging strategies, c...
More Aaron Woolner articles
The credit valuation adjustment (CVA) capital charge in Basel III comes in two flavours: advanced (simulations) and standardised (formula). In this article, Michael Pykhtin shows that the standardis...
A new balance
The clock is ticking
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This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.