We extend the work of Hull and White and Kettunen and Meissner and build a credit default swap (CDS) pricing model that includes default intensities and default correlation of all three involved entities,...
Banks must be aware of the risks of data transfer, conference is warned
More Counterparty articles
In this letter, in the second issue of The Journal of Financial Market Infrastructures, I would like to focus on the so-called interdependencies between financial market infrastructures (FMIs). Such interdependencies can be viewed as links between FMIs....
In the wake of the crisis, the traditional assumption of a risk-free counterparty and rate has been shown to be false, yet it still underpins finance theory. Vladimir Piterbarg develops theoretical foundations for a model of an economy without a risk-free...
Extracting value from high-net-worth investors became a priority for Belgian banks in response to the Financial Services and Markets Authority's moratorium, but as mounting regulatory pressure spooks investors, private banks are bringing their structured...
Uncollateralised trades will consume up to four times more capital under Basel III, dealers say. If that translates into a similar jump in pricing, corporates believe they may have to hedge less. Michael Watt reports
Much of the talk about counterparty risk has concentrated on tweaks due to default expectations – credit and debit value adjustments – but there are other legal loopholes that allow counterparties to terminate trades. One in particular – using credit...
Gary Germeroth, chief risk officer at US independent power producer Calpine, speaks to Pauline McCallion about the company, Dodd-Frank regulation and managing the risks related to renewable energy generation
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.
Topics of interest
Hong Kong, 1st - 31st Dec 2014
UK, 18th Mar 2015
Singapore, 22nd - 23rd Jul 2014
Australia, 12th - 13th Aug 2014
Australia, 14th Aug 2014