Technical paper
CDSs, CVA and DVA – a structural approach
CDSs, CVA and DVA – a structural approach
Breaking break clauses
Breaking break clauses
Robust hedging of withdrawal guarantees
Robust hedging of withdrawal guarantees
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…
DVA for assets
DVA for assets
Robust hedging of withdrawal guarantees
Robust hedging of withdrawal guarantees
Wrong-way risk, credit and funding
Wrong-way risk, credit and funding
Non-linear momentum strategies
Non-linear momentum strategies
Cutting Edge introduction: Goodwill for DVA
Goodwill blunting
Closing out DVA
Closing out DVA
Rational shapes of local volatility
Rational shapes of local volatility
DVA for assets
DVA for assets
Cutting edge: Hedging price and volumetric risks of fixed-price load-serving contracts in natural gas markets
Cutting edge: Hedging price and volumetric risks of fixed-price load-serving contracts in natural gas markets
Impact-adjusted valuation and the criticality of leverage
Impact-adjusted valuation and the criticality of leverage
Cutting Edge introduction: SABR rattling
SABR rattling
Closing out DVA
Closing out DVA
Expanded forward volatility
Expanded forward volatility
Impact-adjusted valuation and the criticality of leverage
Impact-adjusted valuation and the criticality of leverage