Laurie Carver
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Articles by Laurie Carver
Deutsche Bank loses €94 million on CVA mismatch
Hedges worked as capital mitigant, but generated an accounting loss, bank says
VAR models need overhaul to apply CVA proxy rules, says EBA
EBA surprises industry with eleventh-hour guidance that spread simulations – not just initial levels – should account for rating, region and sector
Industry offers alternative to simplified securitisation capital formula
The Basel approach is criticised as inconsistent, prompting a group of quants to develop an alternative
Futures vs FRAs inversion baffles market participants
Futures rates should always exceed those of the corresponding forward rate agreement, finance theory states. So why did the Euribor markets contradict this in May, with a so-called negative convexity adjustment? Laurie Carver reports
Quant Congress Europe: BM&F Bovespa uses close-out model to cut margin
Netting and optimal execution effects may help other CCPs reduce margin requirements, says NYU maths professor Marco Avellaneda
Quant Congress Europe: Quants “waiting for Godot” since crisis
Top Bank of America quant, Alex Lipton, says subject still needs overhaul
Banks push alternative to Basel Committee securitisation model
Basel proposals would kill European market, banks warn – and some regulators sympathise
Cutting Edge introduction: The collateral currency convexity problem
The collateral currency convexity conundrum
London Whale quant now working for Deutsche
Former top quant at JP Morgan's CIO, Patrick Hagan, now consulting on pricing models at Deutsche Bank
Exchange order types prompt fears of HFT conspiracy
High-frequency traders have been viewed with suspicion for some time. Now critics claim exchanges are conspiring with the traders to develop tools that benefit them and disadvantage ordinary investors. Is the threat real? Laurie Carver reports
LSE: "Banking crises are unavoidable"
There is only one way to avoid a banking crisis, according to the co-director of a new London School of Economics research centre - and that's not to have a banking system. By Laurie Carver
Cutting Edge introduction: CVA for CDSs
Counterparty risk is generally thought of at a portfolio level, but understanding how a particular payout interacts with credit and debit valuation adjustments could help banks make business decisions. Laurie Carver introduces this month’s technical…
Basel trading book review triggers fight for modelling freedom
Regulators have embarked on a wholesale review of the way trading book exposures are capitalised. The industry responded, and continues to lobby – but is it getting anywhere? Laurie Carver reports
Mooted VAR substitute cannot be back-tested, says top quant
Basel Committee should stick with VAR, argues Paul Embrechts of ETH Zürich
Profile: FSA's Jo Paisley, on data, modelling and the Bank of England
The Financial Services Authority has a Bank of England veteran heading its risk division as it is subsumed by the central bank. Jo Paisley tells Laurie Carver how the two disparate cultures can be reconciled – particularly when it comes to data
Cutting Edge introduction: Wrong-way risk and the limits of correlation
Traditional models for wrong-way risk focus on the correlation between default and exposure – a blunt tool for a tail risk. Alternatives are thin on the ground, but a scenario-based approach may provide some fresh insight. Laurie Carver introduces this…
Bank groups revise trading book counter-proposals
Industry associations seek to put banks in control of diversification treatment - but propose regulatory safeguards