Credit valuation adjustment (CVA)
Chip and win: Banks expand use of GPUs
As computational demands on banks have increased, some have turned to powerful graphics processing units, but these were initially applied at the transaction pricing level. Now, they are starting to cover portfolio valuations and other enterprise-level…
CDSs, CVA and DVA – a structural approach
CDSs, CVA and DVA – a structural approach
Breaking break clauses
Breaking break clauses
Risk Annual Summit: CVA exemptions could backfire, panel warns
Hedges will attract capital instead of providing capital relief, argues Citi exec
Europe edges towards three-pronged CVA exemption
CRD IV set to exempt trades with corporates, sovereigns and pension funds
CVA proxying: Nomura's alternative to "flawed" EBA method
A cross-section for CVA
Proxy war: Shrinking CDS market leaves CVA and DVA on shaky ground
Runaway adjustments
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…
Wrong-way risk, credit and funding
Wrong-way risk, credit and funding
SG plans to securitise €1.9 billion of derivatives exposure
Deal is said to pay a coupon of 11% for first-loss protection – which some investors say is too low
JSE eyes OTC market as it revamps futures clearer
South African futures CCP limits member liabilities
No exit: The problems facing UBS in its fixed income retreat
The stress of unwinding
Closing out DVA
Closing out DVA
Danish and Latvian debt offices move to two-way CSAs
Cheaper swaps prices have convinced two more DMOs to sign collateral agreements
A year of market movement and trading opportunities
Sponsored forum: US inflation derivatives
Closing out DVA
Closing out DVA
Replacing VAR, OIS discounting and the future of quant finance – the top stories of 2012
The Basel Committee’s proposal to scrap VAR and the move to OIS discounting struck a chord with Risk.net readers in 2012
Majority of firms expect to up IT spend in 2013
Nearly 60% of financial institutions say they will increase spending on technology next year – and new regulatory requirements are a big driver
Derivatives trader 2.0: Sun is setting on old-school risk-takers
Traders of the lost art
Risk software survey 2012
Coping with complexity
Risk technology rankings 2012
Breaking the banks?
Risk research: Almost 60% see increased IT spend in 2013
Expense makes sense