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
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.