Laurie Carver
Basel DVA proposals could subtract billions from bank capital
Original headline:
Accountants want banks to report as profits the impact of widening credit spreads on their liabilities, but regulators are moving in the other direction. The result could be painful deductions from capital,...
Original headline:
Value-at-risk is usually calculated via Monte Carlo simulation, making it difficult to see the contributions from different risks. But in some circumstances approximate formulas can be derived that greatly...
Original headline:
UK insurance group RSA has embraced Solvency II. Last month, the group was awarded insurance risk manager of the year by Life & Pension Risk’s sister title Risk. Jon Macdonald, RSA’s chief risk officer,...
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More Laurie Carver articles
Credit derivatives house of the year: Deutsche Bank
Original headline:
The credit derivatives market has not seen a year like 2011. Volatility was higher in the aftermath of the Lehman Brothers collapse in September 2008, but it focused primarily on financial names. Last year’s fear was less discriminating, encompassing...
Quants of the year: Jesper Andreasen and Brian Huge, Danske Bank
Original headline:
The markets classically assumed by quantitative finance trade continuously, are frictionless, infinitely deep and liquid, and often normally distributed – a fiction so enchanting that many modellers mistook it for reality in the pre-crisis years. One...
Insurance risk manager of the year: RSA
Original headline:
The deadline for Solvency II implementation has long been a moving target – and European legislators agreed last year to give insurers an extra year to comply, with the regulation now due to come into full effect from 2014. Even then, some participants...
Cutting Edge introduction: requiem for a probabilist
Original headline:
The already challenging task of calibrating stochastic volatility models becomes even more complex when rates are random too. But an efficient Monte Carlo approach can be found – by using an esoteric, but neglected, stochastic calculus. Laurie Carver...
The CVA-CDS feedback loop
Original headline:
Dealers claim regulators have cooked up a pro-cyclical credit value adjustment (CVA) capital charge that encourages CVA desks to buy credit default swap protection as a hedge. This could push spreads wider, increasing the CVA capital charge and so prompting...
Quants call for Isda to clarify close-out values
Published online only
Leading quants highlight ambiguity in Isda master agreement - but warn that resolving the issue could worsen systemic risk
Cutting Edge introduction: clarity needed on credit adjustments
Original headline:
A debate over whether to include counterparty risk adjustments at the point of default is animating quants, but either of the obvious answers could exacerbate systemic risk. Laurie Carver introduces this month’s technical papers
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