The papers in this issue deal with credit stress testing models, pricing equations for derivatives, the double default value-of-the-firm model and intuitive models for covered bonds
This paper presents a rigorously motivated pricing equation for derivatives.
Dealers face conflicting incentives and capital hike after internal models are blown away
Bank’s new methodology has been used by some rivals for more than a decade
This paper analyzes the pricing of contingent credit default swaps.
Move to hike counterparty risk capital has corporate treasurers ‘fuming’
Eduardo Canabarro set to be replaced by Andreas Gocksch, say sources
Youssef Elouerkhaoui shows how the choice of discounting rate is irrelevant for pricing
Clearing members say narrow definition of default may limit ratings’ usefulness
“You can imagine a world where you don’t need clearing houses,” says senior banker
Risk management: energy trading systems
Sponsored feature: BNP Paribas Securities Service
Energy firms get wise on credit risk; asset managers tackle op risk
As defaults rise, firms step up sophistication of counterparty assessments
Weak emerging markets and commodities downturn are also posing a challenge
Dealers struggling with CVA pricing and internal approvals
Time constraints can be binding for ‘heavy’ Monte Carlo calculations of risk analytics – value-at-risk, potential future exposure, credit valuation adjustment – in intraday risk monitoring, so fast approximations are sometimes preferred. Vladislav...
Carlos Blanco outlines an approach to counterparty risk using potential future exposure
Lloyds quants tackle computation of margin add-on for derivatives prices
Higher discount rate can cut payouts to in-the-money clients by millions