We study the pricing of a continuously collateralized credit default swap (CDS). We make use of the "survival measure" to derive the pricing formula in a straightforward way. As a result, we find that,...
This is the first of a two-part series on credit valuation adjustment (CVA). In this piece, Carlos Blanco and Michael Pierce introduce the concept of CVA and show how to calculate CVA at the trade and...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Credit risk articles
Pension and insurance firms complain CCPs treat them the same as hedge funds
Clearing members would be forced to guarantee trades executed by their clients' clients - on terms the member firms have not agreed
A number of downgraded banks are required to find swap counterparty replacements for over 300 structured finance transactions – but this is proving difficult, with few candidates willing or able to step in
Proposals to require derivatives users to post initial margin on uncleared trades will cause many end-users to stop using derivatives, say a majority of survey respondents
Stockholm-based TriOptima has designed a way to transfer unclearable risk into a central counterparty. All the company has to do now is convince the world’s regulators to change their rules. By Michael Watt
The US Federal Reserve Board is proposing to limit exposures to single counterparties at a time when regulation is moving more risk into clearing houses. It’s a clash that needs to be resolved, banks say. By Lukas Becker
Credit value adjustment (CVA) is not just a capital burden – the complexity of the calculations involved is also pushing banks’ processing resources to the limit. With traders needing up-to-date CVA numbers in real time, the industry is frantically...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future