Counterparty credit risk
Wujiang Lou calculates CVA and FVA abiding by the law of one price
Carlos Blanco outlines an approach to counterparty risk using potential future exposure
COO in interview cites equity-like evolution and regulation squeezing liquidity
More Counterparty credit risk articles
Counterparty correlations are no substitute for due diligence, argues Kaminski
This paper introduces a technique for pricing and risk measurement of portfolios containing swaption contracts in the presence of counterparty credit risk, under general market model and volatility ...
Counterparty credit risk (CCR), a key driver of the 2007-8 credit crisis, has become one of the main focuses of major global and US regulatory standards. Financial institutions invest large amounts of...
But concerns remain about effects on resolution and capital requirements
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Financial models fall down in energy markets, argues Kaminski
Backtesting counterparty credit risk (CCR) models is anything but simple. Such backtesting is becoming increasingly important in the financial industry since both the CCR capital charge and credit valuation...
Severe financial turbulence is driven by high impact and low probability events that are the hallmarks of systemic financial stress. These unlikely adverse events arise from the extreme tail of a probability...
Low volatility among some Asian currencies results in overly prudent risk analysis
The move towards OIS discounting is proving difficult enough for banks in US and European markets but firms in Asia are facing the added difficulty of a dealing with multiple currencies
Three quarters of survey respondents believe regulators should copy the European Union’s CVA exemptions for trades with corporates, pension funds and sovereigns
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