An excerpt from a discussion between triCalculate's co-CEO, Martin Engblom, and XVA (valuation adjustment) expert Jon Gregory in which they discuss the current state of play for XVA. Our experts provide professional insight on topics such as credit…
Collateralised debt obligations have largely gone under the radar since the 2007 financial meltdown, when their market collapsed. Nearly every attempt at explaining the cause of their failure pointed towards flawed assumptions in pricing models and…
The year of CVA
Getting CVA up and running
Former BarCap credit quant joins capital markets consultancy
Banks should not book paper profits as their own debt quality worsens, the Risk conference heard yesterday
Gaussian copula distribution models are an overly simplistic and inadequate means of valuing tranches of collateralised debt obligations (CDOs) and other structured products, warned a senior quant yesterday.
Jon Gregory, London-based global head of credit quantitative analytics at Barclays Capital, is leaving the firm today.
Rating agencies have come under attack once again for assigning ratings to constant proportion debt obligations (CPDOs), during a panel discussion at Risk’s 2007 Credit Risk Summit Europe in London.
David Shelton has quit his position as a director in Citigroup’s global credit derivatives research unit in London, and is to join Barclays Capital.