Some have argued that the debit valuation adjustment – which measures the benefit to a bank from its own potential for default – is monetisable. They claim replication strategies involving the dealer...
The global thirst for high grade collateral resulting from OTC clearing will require Asia playing a greater role in future, according to Jeffrey Tessler, chief executive of Clearstream
In this paper (in English and German), Genscape has analysed Combined Heat and Power or Central Heat and Power (CHP)production in the German market, the challenges it raises for market participants, and the key steps required to address the fundamental lack of transparency in CHP plant production.
More Credit risk articles
The recent financial crises have changed the way insurers and asset managers view credit risk, revealing a fundamental misunderstanding of the risk in many companies’ portfolios. Risk managers have had to raise their game in terms of how credit risk...
Buy-side firms argue new regulations will create a collateral squeeze – despite claims by a Bank of England official that the fears are overplayed
Isda estimates that mandatory clearing and margin could require the posting of up to $30 trillion of initial margin have been inflated, not least because of a likely exemption for forex swaps and forwards, according to a senior BoE official
Panellists at Asia Risk Congress say collateral management rules will reduce activity in areas such as structured products
Some have argued that the debit valuation adjustment – which measures the benefit to a bank from its own potential for default – is monetisable. They claim replication strategies involving the dealer buying its own bonds, or writing protection on...
In their previous article, Carlos Blanco and Michael Pierce introduced the concept of credit valuation adjustment (CVA). In this next instalment, they explore CVA allocation methods and discuss alternative structures using CVA to set limits, credit charges...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
Hong Kong, 1st - 31st Dec 2014
Japan, 24th Apr 2014
Japan, 24th Apr 2014
USA, 30th Apr 2014
USA, 8th - 9th May 2014