Counterparty risk
Corporate risk manager of the year: Heathrow Limited
Corporate issuers of inflation-linked bonds have had to deal with a double whammy in the post-crisis years. First, the death of monoline-wrapped issuance slashed demand for their debt. Then, when companies...
Roughly 2.5 million people in the Netherlands count on pension administrator PGGM to look after assets that, as of last October, were worth €128 billion. It’s a heavy responsibility, and the firm’s...
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...
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How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
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Addendum to “Partial differential equation representations of derivatives...
This addendum corrects an error in the notation of earlier versions of our paper "Partial differential equation representations of derivatives with bilateral counterparty risk and funding costs" that appeared on SSRN in 2010 and in Volume 7, Issue 3 of...
Collateralized credit default swaps and default dependence: implications...
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, even under a perfect collateralization, there exists...
Editorial: A question of trust
Trust is the invaluable commodity in finance, but it is currently in short supply and the measures put in place to restore it appear to be just another layer of fake tan. That has not stopped banks from selling all kinds of investment products that...
US counterparty limits threaten OTC clearing push
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
Risk 25 firms of the future: Murex
It's hard to find anyone involved in financial markets with a good word to say about the current environment of risk aversion and regulatory upheaval. Maroun Edde, Paris-based chief executive of trading and risk system vendor Murex, is an exception. “For...
Risk 25: No more heroes in quantitative finance?
Scientific theories are supposed to be smooth processes, with progress building on progress. But sometimes a theory gets such a shock that it needs to be completely rethought – and quantitative finance is in the middle of such an upheaval
New CPSS/Basel guidance on FX risk management to be published soon
A new consultation paper on risk management practices in the FX market will be released in the third quarter – and may be published as early as this month
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
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