Counterparty risk
Cutting CVA's complexity
Calculating credit value adjustments can be very numerically intensive, often involving nested Monte Carlo simulations. Pierre Henry-Labordère uses marked branching diffusions to construct an efficient...
The July 2012 issue of ETF Risk covers regulation, liquidity risk and tracking error
A panel of experts convened in Milan to discuss a range of issues currently affecting the Italian insurance industry, including the impact of regulatory decisions on Italian insurance companies and, conversely,...
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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.
More Counterparty risk articles
A crisis of identity, part two
It has taken a long time to build support for a system of legal entity identifiers – but now progress is being made, it is important to get the system right, argues David Rowe
Italy could face more swap terminations
Italian politicians claim Morgan Stanley's swap termination in January will be a one-off - but dealers say Italy's debt office is subject to other clauses that could have the same effect
Risk Annual Summit: Bank deleveraging 'might not be cyclical'
Aircraft, shipping and project finance all set to lose out as banks seek to constrain capital consumption, panellists warn
Show me the money: banks explore DVA hedging
Debit value adjustments are considered accounting voodoo by many – but Goldman Sachs thinks the numbers are real enough to control with a hedging programme. Other banks may follow suit, at least for their derivatives liabilities, but it remains a controversial...
Banks tout break clauses as capital mitigant
Dealers say they are willing to jeopardise client relationships by exercising break clauses that allow trades to be terminated early – and should receive capital relief as a result. But regulators need to be convinced. By Matt Cameron
Banks criticise plan to deduct DVA from equity capital
Comment letters from Isda and Bank of Montreal argue Basel Committee proposal on DVA deductions goes too far
Danish and Latvian debt offices weigh two-way collateral
The costs of transacting swaps with one-way CSAs mean more debt offices could join Hungary, Ireland, Portugal and Sweden
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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