KVA are introduced to take into account the effect of capital on funding
XVA specialists spark debate on regulation and risk-neutrality
The Certificate in Quantitative Finance is a global quant program that focuses on teaching practical quant techniques used in risk management.
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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
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Pricing and valuing derivatives has become a thornier problem as the product spectrum has widened. The obvious solution, a library of product-specific analytics, faces a challenge of its own – namely,...
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.