Mark-to-market valuation
UK bank derivative balances a mixed bag
Mark-to-market derivative balances with UK entities deteriorate; improve with non-UK firms
XVAs: a gap between theory and practice
Hull and White see splits on FVA, MVA, KVA as irreconcilable
New research shows FVA is not part of P&L – Duffie
Pricing experts defend practices that resulted in huge FVA losses
Totem poll: users of Markit service call for change
Libor-like consensus methodology creates bad incentives, clients fear
Noble Group challenged over mark-to-market accounting
Mysterious critic calls trader's long-dated contract valuations into question
Evolving reporting/valuations in $2.8trn fund admin survey
National regulator AIFMD validation checks said to be neither uniform nor consistent
Prudent valuation vs confidence accounting
Accounts shouldn't pretend valuations are exact - but how best to fix the problem?
Looking back: Post-Enron nerves give way to longer-term fears
Jitters subside as industry ponders role of trading and mark-to-market accounting
Hedge backtesting for model validation
Derivatives pricing and expected exposure models must be backtested as a basic regulatory requirement. But what does this mean exactly, and how can it be used to reserve against model risk? Lee Jackson introduces a general backtesting framework for…
Impact-adjusted valuation and the criticality of leverage
Impact-adjusted valuation and the criticality of leverage
Impact-adjusted valuation and the criticality of leverage
Impact-adjusted valuation and the criticality of leverage
Cutting Edge introduction: The tipping-point for leverage
Borrowing the stake for a bet is as old as the hills – and so is losing it. But how much debt is too much for a given position? A group of quants believe they know. Laurie Carver introduces this month’s technical articles
Impact-adjusted valuation and the criticality of leverage
Impact-adjusted valuation and the criticality of leverage
DVA: a 'shameful scam'
DVA: a ‘shameful scam’
Liquidation cost: why mark-to-market values are wrong
The cost of liquidation
Basel DVA capital deduction could cost banks billions
Billions of dollars in capital could be excluded under Basel proposals on derivatives DVA - with US banks hardest hit
India structured products market adapts to new oversight regime
Under a watchful eye
Small Asian companies exposed to commodity derivatives margin calls
Meeting the calls
Collateral could add billions to European debt figures
Swedish debt figures set to grow by Skr15 billion as country falls in line with EU guidelines on collateral reporting - Belgium resisting two-way CSA over possible debt impact
CPM desks split on whether to reap windfall on hedges
The value of hedge books was hugely volatile during the crisis, forcing loan portfolio managers to think carefully about whether to monetise their gains. Those who chose not to saw windfall profits wiped out in a matter of weeks – but there’s still…
No accounting for tastes
The Financial Accounting Standards Board has been robust in its defence of fair-value accounting, and is now set to ruffle regulatory feathers by proposing the approach be expanded to cover all financial instruments. Risk speaks to the standard-setter’s…
Valuation & transparency sponsored forum: Derivatives valuation – challenging the process
Valuation of derivatives instruments has become a key focus for regulators and banks since the onset of the financial crisis, leading to greater demand for transparent and independent valuations. A group of industry experts convened in London recently to…
Fudge or fix?
Barclays announced in September it had sold $12.3 billion of credit assets to a newly established fund called Protium Finance. The acquisition was largely financed by a loan from Barclays, meaning the bank has insulated itself against further mark-to…