The risk of exposure and counterparty default probability both increasing – so-called wrong-way risk – is usually understood in terms of the correlation between the two variables. But this approach focuses more on the centre of the distribution. This...
The move by European authorities to exempt European banks from holding CVA capital should be matched by regulators in Asia, according to senior bankers in the region
As computational demands on banks have increased, some have turned to powerful graphics processing units, but these were initially applied at the transaction pricing level. Now, they are starting to cover portfolio valuations and other enterprise-level...
CDSs, CVA and DVA – a structural approach
Breaking break clauses
Hedges will attract capital instead of providing capital relief, argues Citi exec
CRD IV set to exempt trades with corporates, sovereigns and pension funds
A cross-section for 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 provide some fresh insight. Laurie Carver introduces this...
Wrong-way risk, credit and funding
Deal is said to pay a coupon of 11% for first-loss protection – which some investors say is too low
South African futures CCP limits member liabilities
The stress of unwinding
Closing out DVA
Cheaper swaps prices have convinced two more DMOs to sign collateral agreements
Sponsored forum: US inflation derivatives
Closing out DVA
The Basel Committee’s proposal to scrap VAR and the move to OIS discounting struck a chord with Risk.net readers in 2012