Technical paper
Model foundations of Basel III standardised CVA charge
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 standardised CVA charge formula can be obtained by adding several…
Cutting Edge introduction: Followers of fashion
Focusing on how often a trading strategy ends on the winning side can distract from the question of whether it profits on average. The key is in the return distribution’s skew – and at least for trend-following strategies this can be directly controlled…
Applied risk management series: modelling spreads in energy markets
Implications for valuation and risk management of spread options
Risk 25: Cutting edge classics
Don’t say we didn’t warn you
Copulas and credit models
Copulas and credit models
Adjusting value-at-risk for market liquidity
Adjusting value-at-risk for market liquidity
Cooking with collateral
Cooking with collateral
Momentum trading: ’skews me
Momentum trading: ’skews me
Market reaction to price changes and fat-tailed returns
Market reaction to price changes and fat-tailed returns
Optimal design of algo-alpha trading strategies
Optimal design of algo-alpha trading strategies
Cutting Edge introduction: The origins of the standardised CVA charge
The origins of CVA
Cutting CVA's complexity
Cutting CVA's complexity
Non-linear mixture of asset return models
Non-linear mixture of asset return models
Model foundations of the Basel III standardised CVA charge
Model foundations of the Basel III standardised CVA charge
