This paper analyses whether the double default treatment under Basel II is appropriate to capture the asymmetric relationship between an obligor and its guarantor.
Information asymmetry and illiquidity driving up prices
Big bang still an option in plans to propagate new benchmarks
Negative rates causing pricing model rethink
Two RBC quants propose a way to value CSAs with more than two currency posting options
Libor-like consensus methodology creates bad incentives, clients fear
Firm’s treatment of optional commodity inventory sales is appropriate, CEO says
National regulator AIFMD validation checks said to be neither uniform nor consistent
Realistic models not necessarily a prerequisite for successful risk management
Burgard and Kjaer method is extended to include margin valuation adjustment
Quant ideas paper dissects layers of valuation models for physical assets
US bank accused of manipulating client valuation reports to mask profits
Flexible, martingale duality-based method provides reliable valuation
Fund managers need to ensure internal controls are up to the mark
Providers distinguished by Emir and AIFMD reporting and valuation services
Delegating Emir reporting may cause more problems than it solves
Sponsored interview: Commerzbank
Regulator reasserts governance and control requirements ahead of Solvency II
Market prices ignore time-to-liquidation, says David Rowe
Failures observed in valuation governance, documentation and models
In this paper, Magnus Wobben, Tilman Huhne, Yuri Ivanov and Sebastian Hanneken examine the impact of market incompleteness on the valuation of gas storage contracts. In contrast to prior research, their proposed valuation framework accounts for the contract...
In a bid to stay one step ahead of the regulators, a consortium of major German banks has volunteered to boost disclosure around the pricing and payout probabilities of their structured products
The incremental risk of including electricity contracts in a portfolio is computed by George Levy using a Monte Carlo regime-switching approach. The volume and price processes are modelled using empirical distributions and correlation is captured via...
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