Credit valuation adjustment (CVA)
Traditional models for wrong-way risk focus on the correlation between default and exposure – a blunt tool for a tail risk. Alternatives are thin on the ground, but a scenario-based approach may p...
This white paper looks at the heavy impact of regulation on investment managers, the mitigation of outsourcing risk, inefficiencies in corporate actions processing and the growing importance of collateral management.
More Credit valuation adjustment (CVA) articles
Deal is said to pay a coupon of 11% for first-loss protection – which some investors say is too low
The stress of unwinding
Cheaper swaps prices have convinced two more DMOs to sign collateral agreements
Sponsored forum: US inflation derivatives
Mathematical models have always had their detractors, who view them as black boxes and their creators as blinkered eggheads, but this suspicion is now shaping new bank capital rules – with regulators...
The Basel Committee’s proposal to scrap VAR and the move to OIS discounting struck a chord with Risk.net readers in 2012
Traders of the lost art
Expense makes sense
From stochastic volatility to shameful scams
Proposed rules could result in relatively vanilla forex products attracting disproportionate margin and capital requirements, says BoE FX division head
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.