Debit valuation adjustment (dva)
Trading and risk systems have been updated over the past year to reflect the growing need for regulatory solutions, as well as the new pricing complexity associated with collateral-based discounting. By...
Papers published in Risk this year touched on a diverse range of topics. Laurie Carver provides an overview and introduces the annual round-up of citations
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Debit valuation adjustment (dva) articles
Some have argued that the debit valuation adjustment – which measures the benefit to a bank from its own potential for default – is monetisable. They claim replication strategies involving the dealer buying its own bonds, or writing protection on...
John Hull and Alan White sparked a heated debate when their article in Risk’s 25th anniversary issue argued funding costs should not be reflected in derivatives prices. Here, they respond to their critics
The funding valuation adjustment traders have been adding to derivatives prices since bank funding costs first blew out in 2008 has proved controversial, putting theory and practice at odds with one another. Royal Bank of Scotland’s Stephen Laughton...
Derivatives desks have been passing along funding costs for uncollateralised trades since bank spreads blew out in the crisis. But a funding-dependent price is subjective – and this is intolerable to some quants and risk managers. A heated debate is...
John Hull has been writing about over-the-counter derivatives for almost 30 years – often with Alan White, a fellow finance professor at the University of Toronto – but he says nothing has generated as much feedback as the article the pair contributed...
Credit value adjustment (CVA) is not just a capital burden – the complexity of the calculations involved is also pushing banks’ processing resources to the limit. With traders needing up-to-date CVA numbers in real time, the industry is frantically...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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