Reghai, Kettani and Messaoud present new technique to calculate CVA using adjoints
Fabio Mercurio and Minqiang Li investigate CVAs in the presence of wrong-way risk
Alexander Antonov, Bianchetti and Mihai develop a universal and efficient approach to numerical FVA calculation
Jacky Lee and Luca Capriotti present an arbitrage-free valuation method for counterparty exposure of credit derivates portfolios.
EU lenders say both EBA proposals would distort capital requirements
Hedge funds target 10–12% returns on credit risk from unpaid invoices
Asean Economic Community faces challenges, says deputy governor Muhammad bin Ibrahim
Method could provide early-warning system
Kenyon and Green model the effects to pricing of credit warehousing, capital and tax
Fund says securitisation practices should be tightened while spurring demand
The next time a big dealer defaults, it will hit a host of swap clearing houses simultaneously
Risk Awards 2015: French bank shared trade finance exposure with World Bank
A copula-based model for wrong way risk
A new product could smoothe the gap between capital and accounting rules
The Basel Committee on Banking Supervision has introduced strict regulatory guidance on how to validate and backtest internal model methods for credit exposure. Fabrizio Anfuso, Dimitrios Karyampas and Andreas Nawroth incorporate these guidelines into...
Adjoint algorithmic differentiation is one of the principal innovations in risk management in recent times. Luca Capriotti and Jacky Lee show how this technique can be used to compute real-time risk for credit products, even those valued with fast semi-analytical...
Banks insist credit risk approach can be fixed - and remains more sensitive than stress tests
New analysis shows CDOs can withstand high levels of correlation – what they can’t cope with, though, is a sudden change in risk appetite
CCP exposures not in scope of new regime, but clearing members are
Banks expected to sell NPLs to improve stress-test resilience
UK platforms worry about rogue rival services with weak credit controls
When collateral can be posted in multiple currencies, pricing even the simplest derivatives involves optionality, which is often tackled numerically. But by conditioning on a risk factor to make variables independent, this can be simplified. Alexandre...