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Some banks are expressing netting uncertainty as a fair value adjustment to CVA
This paper presents a simple model for joint defaults and shows how it can be applied to pricing and risk-managing instruments that are sensitive to credit correlation.
Trading book regime may force use of more expensive and time-consuming ways of computing risk sensitivities
Benefits of initial margin also overstated, new research finds
Optimisation method offers quicker and more focused way of making XVA calculations
Dealers are adjusting CVA prices, depending on their view of the legal netting opinion
Banks are turning their attention to calculating a new derivatives valuation adjustment
Julian Keenan leads Asia credit portfolio trading at the US bank
Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
In the paper, real-world and risk-neutral scenarios are combined for the valuation of the exposure values of Bermudan swaptions on real-world Monte Carlo paths.
Cross-gamma losses estimated at more than $25m for each dealer
Sponsored Q&A: Numerix
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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.
Ditching own models for CVA risk is too binary and eliminates possibility of further dialogue
Fed stress tests push US banks towards charging CVA for cleared derivatives
The EBA is also reconsidering its advice to the European Commission on the treatment of CVA risk
Dealers face conflicting incentives and capital hike after internal models are blown away
Basel Committee decision removes potential source of competitive advantage for large dealers
A new method to estimate marginal VAR and marginal ES is presented