Cost of capital
Solvency II proposal may boost insurer CLO investments
But experts question whether European Commission proposal will draw insurers back to other securitised products
Funding, wealth transfer and financial stability in the post-Libor era
Adjusting RFR with a funding premium may aid economic growth and stability
LGIM blasts ‘dangerous’ netting of short positions on carbon emitters
Netting shorts on big polluters distracts investors from task of persuading firms to slow climate change
Is Citi’s SA-CCR hit a sign of things to come?
Higher capital costs for dealing in uncollateralised FX swaps and forwards could impact banks and clients alike
Climate risk-weights a ‘terrible idea’ for aiding transition
Carbon pricing and direct regulation of top emitters seen as better approach
Optimal reinsurance with expectile under the Vajda condition
In this paper, the author revisits optimal reinsurance problems by minimizing the adjusted value of the liability of an insurer, which encompasses a risk margin. The risk margin is determined by expectile.
Costs of capital under credit risk
In cost-of-capital computations, credit risk is only taken into consideration at the level of the debt beta approach. We show that applications of the debt beta approach in company valuation suffer from unrealistic assumptions about the market index and…
MVA taking the long road to acceptance
Four years on, the adjustment is still not a standard part of non-cleared swap pricing
The Fundamentals of market risk rules
With the 2022 Fundamental Review of the Trading Book (FRTB) deadline looming, banks are fast coming to grips with the amount of work still to be done to achieve a successful implementation
A tech-driven transformation
A panel of experts explores how greater collaboration between risk and finance teams can garner significant benefits and add value, how technological innovation is making the regulatory landscape more complicated to navigate and produce transformative…
Trading units of Swiss banks move in opposite directions
Over three years, Credit Suisse has cut RWAs allocated to trading 17%; UBS has increased them 46%
Another Brexit: UK heading for Solvency II risk margin fix
PRA to approve local cut to risk margin but implementation may be postponed until after March 2019
Insurers press case for new-look risk margin
Firms call for lower cost of capital and link to interest rates in key element of Solvency II
From FVA to KVA: including cost of capital in derivatives pricing
Youssef Elouerkhaoui presents a general derivatives pricing framework including cost of capital