Quants propose KVA and FVA accounting framework based on Solvency II regulation
Alexey Botvinnik and Vladimir Ostrovski propose a validation method for interest rate models
A treasury viewpoint on the funding optimization problem
Pricing the CVA doom loop
DVA: a ‘shameful scam’
The credit valuation adjustment (CVA) capital charge in Basel III comes in two flavours: advanced (simulations) and standardised (formula). In this article, Michael Pykhtin shows that the standardised CVA charge formula can be obtained by adding several...
Model foundations of the Basel III standardised CVA charge
Sponsor covenants in risk-based capital
Non-financial risks examined
With Solvency II fast approaching, obtaining approval for your internal model is increasingly important. A key part of this process will be to demonstrate the ability of the model’s scenario generation to describe the evolution of interest rates plausibly....
In the May issue we reported the results of a recent EDHEC-Risk Institute survey on structuring hedge fund strategies as Ucits.
In an introduction to this month’s Cutting Edge, Risk’s technical editor, Mauro Cesa, and assistant technical editor, Laurie Carver, look at a new model proposed by a former Risk magazine quant of the year, which attempts to quantify the effect of...
Cutting Edge - Interest Rates
Der Neueste Stand - Marktrisiko