Credit valuation adjustment (CVA)
Path-consistent wrong-way risk
A copula-based model for wrong way risk
Risk-neutral pricing – Hull and White debate Kenyon and Green
XVA specialists spark debate on regulation and risk-neutrality
Counterparty credit risk pricing and measurement of swaption portfolios
This paper introduces a technique for pricing and risk measurement of portfolios containing swaption contracts in the presence of counterparty credit risk, under general market model and volatility assumptions.
CDS de-correlation a threat to CVA hedging, traders warn
Fears relationship between credit indexes and constituents becoming more tenuous
South Africa's Eskom ends CSA flirtation
No obvious benefit to posting collateral, says company's treasurer
No arbitrage: New rules make markets 'less efficient'
Indexes may be less effective hedges in absence of arbitrageurs
How to hedge CVA without being hurt
A new product could smoothe the gap between capital and accounting rules
UK utilities weigh creative inflation-hedge revamps
Yorkshire Water among the firms said to be considering inflation repacks
A credit value adjustment scheme for bank loan portfolios
In this study the authors develop an analytical scheme that integrates a large spectrum of typical bank loans and credits, accommodates common bank loan portfolio chronological interdependencies and allows the necessary credit value adjustments (CVAs)…
Trends in risk management
Sponsored survey analysis: SunGard
Corporate hedgers fear OTC liquidity drain
End-user exemptions could prove Pyrrhic victory, says treasury head
The black art of FVA, part II: Conditioning chaos
Banks under pressure to join JP Morgan and others that have embraced FVA - but complexity is huge and consensus elusive
South African corporates expect to sign CSAs
Power giant Eskom and South African Airways want to cut hedging costs
Supervisors slam banks over 'top 20' counterparty results
After five years of work, a group of 19 big banks still get a failing grade from supervisors on their ability to pull together and report counterparty exposures. Is it all a question of cost? Fiona Maxwell reports
Options cutting costs for some cross-currency swaps
Dealers found a way to protect some cross-currency swaps from heavy new capital requirements last year, by adding foreign exchange options into the structure – but the powers of the technique are limited. Matt Cameron reports
Systematic risk factors redefined
Credit risk factor models tend to have a narrow focus on the Gaussian case, use copula functions that don’t work well with the martingale methods used in pricing, and can introduce arbitrage. Dariusz Gatarek and Juliusz Jablecki show how an increasing…
Risk management system of the year (vendor): Markit Group
Capital and funding efficiency is a new discipline for derivatives desks, and there is a shortage of comprehensive systems - so Lloyds Banking Group teamed up with Markit to build one
Vague Volcker causes confusion
Vague Volcker bemuses
Oil majors step up commodity derivatives market making in Asia as banks cut back
Handicapped by tighter regulations, banks have ceded derivative market-making share to oil majors such as BP and Shell
CVA desks could struggle with Volcker correlation tests
Banks turn to lawyers for advice as CVA functions face tougher conditions than other trading desks
Op risk, FVA and OIS - Risk.net’s top stories of 2013
Operational risks, funding valuation adjustment and the money made by one dealer in the early days of OIS discounting – the top stories of the year on Risk.net
India private sector banks start signing CSAs
Rising costs and flexible collateral approaches overcome India resistance to CSAs
Risk technology rankings 2013: Regulatory revamps
Adapt and comply