Technical papers / Asia Risk
Bilateral CVA of optional early termination clauses
In this white paper, Gordon Russell, Global Head of Risk at Broadridge Investment Management Solutions argues that the chances of survival in this new environment will be greater for funds that implement solutions to efficiently and cost-effectively manage data and risk.
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.