The funding valuation adjustment (FVA) is the biggest controversy of recent times in quantitative finance. Now the authors of the original FVA paper are back – and think there may be a solution. Laurie...
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 Derivatives pricing articles
Values of derivatives contracts for which there is a choice of asset to post as collateral have been shown to depend on the instantaneous interest rates these assets return. However, the models developed so far assumed perfect substitution. In reality,...
The health of the financial system increasingly depends on the pricing models used at a handful of derivatives clearing houses. With these venues planning to take on trickier products, some sceptics are asking whether their models are up to the job. Laurie...
Disparate – but intimately related – adjustments to derivatives prices are being put under one umbrella by some dealers, uniting counterparty risk, funding, collateral and capital management in one super-desk. That frightens some treasurers, who see...
In this video discussion, Duncan Wood, editor of Risk, talks to Nick Sawyer, Risk’s editor-in-chief, about attempts to price in a replacement valuation adjustment on derivatives trades
Incoming rules on portfolio reconciliation could encourage many derivatives users to outsource the process. But it’s not a simple short cut, warn Mike Pierides and Alistair Charleton of Pillsbury Winthrop Shaw Pittman
In this article, Carlos Blanco and Michael Pierce provide an overview of swap instruments and discuss the pricing, valuation, hedging and risk management of over-the-counter commodity swaps. They also comment on the expected ramifications of new regulations...
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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