The authors consider risk-neutral valuation of a contingent claim under bilateral counterparty risk using the well-known reduced-form approach.
Dealers welcome EBA proposals but say limited number of eligible counterparties means few benefits
Clients question value of receiving dealers’ swaps profit margin data
NY-based start-up LMRKTS gets backing to support illiquid markets
Andersen, Pykhtin and Sokol show the existence of residual exposure after initial margin posting
Sernova promises everything an FCM can do – apart from taking risk
UK dealers avoid mass transfers of derivatives
Risk Awards 2017: Bespoke stress tests helped navigate Brexit and autocallable pressure
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But scale of challenge becomes clear in early tussles between dealers and clients
Bank networks evolve to be liquid but unstable, new research shows
Voluntary clearing volumes jump 80% as non-cleared margin rules take effect
Benefits of initial margin also overstated, new research finds
Optimisation method offers quicker and more focused way of making XVA calculations
Unworkable due diligence rules may prompt G-Sibs to cut single counterparty exposures below 5%
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Cross-gamma losses estimated at more than $25m for each dealer
This paper presents a rigorously motivated pricing equation for derivatives.
Dealers face conflicting incentives and capital hike after internal models are blown away
Bank’s new methodology has been used by some rivals for more than a decade
This paper analyzes the pricing of contingent credit default swaps.
Move to hike counterparty risk capital has corporate treasurers ‘fuming’
Eduardo Canabarro set to be replaced by Andreas Gocksch, say sources
Youssef Elouerkhaoui shows how the choice of discounting rate is irrelevant for pricing