Technical papers / Asia Risk
Bilateral CVA of optional early termination clauses
More Technical papers / Asia Risk articles
Impact-adjusted valuation and the criticality of leverage
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...
Valuation of commodity structures in co-integrated futures markets
Repricing the cross smile: an analytic joint density
Analytical risk contributions for non-linear portfolios
Spread options, Farkas's lemma and linear programming
Marking systemic portfolio risk with the Merton model
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.