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
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National regulator AIFMD validation checks said to be neither uniform nor consistent
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
Sponsored interview: Commerzbank
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, ...
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 emp...
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.