Technical papers/Regulation
DVA: a 'shameful scam'
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
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...
The credit value 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...
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More Technical papers/Regulation articles
Minimal partial proxy simulation schemes for generic and robust Monte...
Jiun Hong Chan Centre for Actuarial Studies, Department of Economics, University of Melbourne, Victoria 3010, Australia; email: j.chan23@pgrad.unimelb.edu.au Mark Joshi Centre for Actuarial Studies, Department of Economics, University of Melbourne,...
Pricing convertible bonds with call protection
Stéphane Crépey Laboratoire Analyse et Probabilit´es Universit´e d’Evry Val d’Essonne, 91025 Evry, France; email: stephane.crepey@univ-evry.fr Abdallah Rahal Bank Audi Plaza, Omar Daouk Street, Bab Idriss, Group Risk Management, 11-2560...
Pricing barrier and average options in a stochastic volatility environment...
Kenichiro Shiraya Graduate School of Economics, University of Tokyo, 7-3-1 Hongo, Bunkyo-ku, Tokyo 113-0033, Japan and Mizuho-DL Financial Technology Co., Ltd., Ote Center Building 16F, 1–3 Ote-Machi 1-chome, Chiyoda-ku, Tokyo 100-0004; email: kenichiro.shiraya@gmail.com...
A simple discretization scheme for nonnegative diffusion processes with...
Chantal Labbé Service de l’Enseignement des M´ethodes Quantitatives de Gestion, HEC Montr´eal, 3000 Chemin de la Cˆote-Sainte-Catherine, Montr´eal H3T 2A7, Qu´ebec, Canada; email: chantal.labbe@hec.ca Bruno Rémillard Service de l’Enseignement...
Sponsor covenants in risk-based capital
With a second European Union consultation on moving pension fund capital requirements on to a more market-consistent, risk-based capital framework, many have been alarmed at the idea of heavy Solvency II-style requirements for retirement schemes. But...
Regulatory debate continues on merits of short selling in turbulent...
Regulators continue to disagree on rules to curtail short selling. Empirical evidence suggests constraining short sales significantly reduces market quality and can have unintended consequences.
Ratings needed for non-financial risks in European Union funds management...
Strengthening of capital requirements and better information to evaluate non-financial risks are important for hedge funds. Fund governance needs to be strengthened to manage non-financial risks.
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