Technical paper/Credit risk
Conversion of upfront CVA into running CVA
Conversion of upfront CVA into running CVA
Cutting Edge introduction: clarity needed on credit adjustments
Credit and credibility
Cutting Edge: the year of CVA
The year of CVA
Close-out convention tensions
Close-out convention tensions
Cutting Edge introduction: the DVA debate
The DVA debate
Getting CVA up and running
Getting CVA up and running
Perverse capital
Perverse capital
Counterparty risk capital and CVA
Counterparty risk capital and CVA
Real-time counterparty credit risk management in Monte Carlo
Real-time counterparty credit risk management in Monte Carlo
An analytical framework for credit portfolio risk measures
An analytical framework for credit portfolio risk measures
Risky funding with counterparty and liquidity charges
Risky funding with counterparty and liquidity charges
Capturing credit correlation between counterparty and underlying
Capturing credit correlation between counterparty and underlying
Name concentration correction
Credit Risk
Name concentration correction
Name concentration correction
CVA and the equivalent bond
CVA and the equivalent bond
Modest means
Credit loss models typically calibrate default separate from loss given default. Here, Jon Frye calibrates simultaneously, using credit loss data. This produces a surprising test result: the credit loss models do not significantly outperform a…
Variance-covariance-based risk allocation in credit portfolios
Mikhail Voropaev proposes high-precision analytical approximation for variance-covariance-based risk allocation in a portfolio of risky assets. A general case of a single-period multi-factor Merton-type model with stochastic recovery is considered. The…
A rotationally invariant technique for rare event simulation
Because of their low probability, including extreme events in Monte Carlo calculations of the value-at-risk of a credit-risky portfolio requires many simulations. Here, Susanne Klöppel, Ranja Reda and Walter Schachermayer demonstrate a geometrically…