Articles by Laurie Carver
Cutting Edge introduction: The origins of the standardised CVA charge
The origins of CVA
Bank of England’s Tucker asks to appear before Libor inquiry
BoE deputy governor asks to appear “as soon as possible” following calls for the Bank to explain Diamond conversation
US senator calls for VAR overhaul
Speaking to Risk after JP Morgan boss testifies on $2 billion loss, US Senate banking committee member Kay Hagan says risk modelling and reporting need overhaul
Risk.net poll: Industry divided over plan to scrap VAR
Poll on Basel Committee proposal to ditch VAR attracts close to 1,000 votes - with a narrow victory for critics of the metric
Spanish banks allowed to ignore default risk for sovereign bonds
Banco de España is one of a number of European supervisors allowing its banks to ignore a Basel 2.5 requirement to model default risk on government bonds
Cutting Edge introduction: Hedging dependence
Hedging dependence
OCC faces VAR vetting questions over JP Morgan loss
US regulator is responsible for signing off models used for regulatory capital purposes
JP Morgan’s ‘London whale’ losses spark VAR debate
In-house probe will look at role of internal model change, among other factors
Profile: NYU’s Robert Engle on volatility, liquidity and systemic risk
An Arch economist
Stress test struggle: separating liquidity and market risks
Stress test struggle
Cutting edge introduction: perturbing the smile
Perturbing the smile
Basel Committee proposes scrapping VAR
Review recommends switch to expected shortfall, postpones CVA charge overhaul, and retains split between banking and trading books
Dealers draw up contract for covered bond CDSs
Credit Suisse, Deutsche Bank and JP Morgan expect demand for spread volatility protection on covered bonds
Liquidation cost: why mark-to-market values are wrong
The cost of liquidation
Cutting edge introduction: exploring constant maturity asset swaps
Exploring constant maturity asset swaps
Risk Annual Summit: DVA hedging creates systemic risk, says Brigo
King's College professor of finance Damiano Brigo says regulators should clamp down on dealers looking to hedge debit value adjustment gains by selling CDS protection on closely correlated names
Risk Annual Summit: CVA rethink needed, says HSBC risk specialist
Market risk hedges should be recognised when calculating CVA capital charge, says HSBC market risk modelling head
Cutting Edge introduction: viva cross-vegas
Viva cross-vegas
Show me the money: banks explore DVA hedging
Show me the money
Quants weigh up VAR's flawed alternatives
VAR at risk
Banks caught in DVA dilemma
The DVA dilemma
Banks criticise plan to deduct DVA from equity capital
Comment letters from Isda and Bank of Montreal argue Basel Committee proposal on DVA deductions goes too far
Goodbye VAR? Basel to consider other risk metrics
Trading book review will look at replacing value-at-risk, but quants say the obvious alternative - expected shortfall - is not much better