Nearly 60% of financial institutions say they will increase spending on technology next year – and new regulatory requirements are a big driver
Traders of the lost art
Coping with complexity
Breaking the banks?
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
The European Parliament is poised to defend a CVA exemption for trades with corporate and sovereign entities, as negotiations enter the final stages
Avoiding counterparty meltdown
DVA: a ‘shameful scam’
Credit valuation adjustment for energy and commodity derivatives: part two
The pricing paradox
Calculating CVA at trade and portfolio levels
Structured Products Asia Awards 2012
In defence of FVA
Traders v. theorists
The fun of FVA
Dealers expect new rules to hit the profitability of their business, but fewer expect to be able to pass the costs along – and more are anticipating a big drop in OTC trading volumes
The credit valuation adjustment (CVA) capital charge in Basel III comes in two flavours: advanced (simulations) and standardised (formula). In this article, Michael Pykhtin shows that the standardised CVA charge formula can be obtained by adding several...
Cloud on the horizon?