More Technical papers/Regulation 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 standardis...
Model foundations of the Basel III standardised CVA charge
Non-financial risks examined
In the May issue we reported the results of a recent EDHEC-Risk Institute survey on structuring hedge fund strategies as Ucits.
With the implementation measures of Solvency II being finalised, the optimal complexity of internal models - how to best account for risks with as few redundancies as possible - is of great importance....
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.