Mark-to-market
Impact-adjusted valuation and the criticality of leverage
Marking whole positions to the current clearing price as in mark-to-market accounting ignores the effect that liquidating a position can have. Such valuations overstate the cash that will be received and...
Borrowing the stake for a bet is as old as the hills – and so is losing it. But how much debt is too much for a given position? A group of quants believe they know. Laurie Carver introduces this month’s...
Despite the attempts of some quants to give it a sturdy foundation, debit valuation adjustment remains a scam, one critic argues. Laurie Carver introduces this month’s technical articles
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How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Mark-to-market articles
Liquidation cost: why mark-to-market values are wrong
Equity portfolios are marked-to-market on the assumption that each share will recoup that amount of cash – but exiting large positions has a market impact, wiping out value. New research indicates this dynamic may be governed by a universal law. Laurie...
Basel DVA capital deduction could cost banks billions
Billions of dollars in capital could be excluded under Basel proposals on derivatives DVA - with US banks hardest hit
Basel DVA proposals could subtract billions from bank capital
Accountants want banks to report as profits the impact of widening credit spreads on their liabilities, but regulators are moving in the other direction. The result could be painful deductions from capital, and two very different sets of incentives. Laurie...
India structured products market adapts to new oversight regime
India’s financial regulator has moved to increase oversight of the country’s nascent structured products market. What will be the impact on the level of growth and the type of structures offered?
Small Asian companies exposed to commodity derivatives margin calls
Commodity consumers are under pressure from rising prices and market volatility, leading some to question the affordability of margin-based hedging programmes. Cash-rich participants appear able to absorb these expenses with little discomfort but smaller...
Hedge accounting
Hedge accounting is the practice of deferring gains and losses on financial market hedges until the corresponding gain or loss in the underlying exposure is recognised. It allows companies to incorporate the cost of hedging into the cost of the exposure....
Accrual accounting
When swaps are used to hedge specific on-balance-sheet exposures, they are often accounted for on an accrual basis. Under the accrual method, the net payment or receipt in each period is accrued and recorded as an adjustment to income or expense. *see...
Using market and credit risk analytics to strengthen performance
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Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
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