Laurie Carver
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Articles by Laurie Carver
Basel DVA capital deduction could cost banks billions
Billions of dollars in capital could be excluded under Basel proposals on derivatives DVA - with US banks hardest hit
Quants call for Isda to clarify close-out values
Leading quants highlight ambiguity in Isda master agreement - but warn that resolving the issue could worsen systemic risk
Quant Congress Europe: Quants urged to ditch equilibrium models
Equilibrium models do not represent real markets and need to be replaced with models that take explicit account of real capital flows, says Alex Langnau
Quant Congress Europe: Peter Carr introduces ‘meta-modelling’
Morgan Stanley quant tells Risk's annual European quantitative finance event that modelling assumptions should be considered in light of calibration needs - even if this leads to discrepancies
CVA desks to keep buying sovereign CDSs – even if they never pay out
Even if CDS contracts are not triggered in Greek restructuring, Basel III's CVA charge ensures the market will live on - but episode raises fresh questions about design of capital framework, dealers say
Allianz CRO: industry and regulators ‘in denial’ over solvency levels
Insurers' heads are in the sand regarding the impact of current market turmoil on their Solvency II-consistent balance sheets, says Tom Wilson
Emir should include exchange-traded derivatives, says Gensler
CFTC chairman says European regulators should expand scope of Emir to include all derivatives, rather than OTC only
Update: Bouhara and Gouws out, Gudka also resigns as UBS cleans house
Dismissals are "a sign something was seriously wrong", says former senior UBS employee as bank admits operational and risk failings
US regulators ask DOE lab to study flash-crash forecasting tool
US regulators enlist Department of Energy computing power to analyse metric that aims to predict catastrophic market events
Allianz CRO: Industry and regulators 'in denial' over solvency levels
Allianz's Tom Wilson warns liquidity premium in discount rates is disguising effect of current market turmoil on life insurance balance sheets
Quantitative finance "not a theory", says Derman
Emanuel Derman criticises the increasingly abstract and mathematical nature of quantitative finance
Isda to review close-out value definitions
Absence of a standard approach is stifling attempts to value termination clauses, dealers complain