New approach’s 1.4x multiplier meant capital charges for derivatives surged last year
Leverage ratios at Mizuho, SMFG and SMTH hit multi-year lows
The author evaluates the usefulness of bias-correction methods in enhancing the Vasicek model for market risk and counterparty risk management practices.
US seen as obstacle to consensus; committee expected to allow netting of margin against PFE only
Quants propose tweaks to improve Basel counterparty credit risk framework
Capital requirements on a client’s hedged options portfolio could increase by 1,100%
Quants propose replacement to existing credit risk measure
Quants propose tail risk-sensitive measure for counterparty credit risk
The potential future loss is proposed as a replacement for PFE
This paper examines the credit exposure evaluation properties of interest rate derivatives to manage counterparty credit risk, working with the real-world probability.
Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
In the paper, real-world and risk-neutral scenarios are combined for the valuation of the exposure values of Bermudan swaptions on real-world Monte Carlo paths.
Fed, FDIC and OCC told daily settlement of swaps will cut required capital
Carlos Blanco outlines an approach to counterparty risk using potential future exposure
Leverage ratio could prompt FCMs to be more picky, warns CME's Sprague
Quants find way to streamline future value calculations for exotic
A new framework for derivatives pricing with valuation adjustments
A copula-based model for wrong way risk
Sponsored survey analysis: SunGard
An enterprise-wide risk engine will better integrate risk measurement with business decisions.
Risk technology firms, Pennsylvania-based Financial Software Systems (FSS), and New York-based PFS Trader Tools, said today that they are working together to develop a Web-based foreign exchange trading service. The risk management tool, branded…
Banks’ Potential Future Exposure models are at the core of the advanced EAD (Exposure At Default) approach to capital requirements for credit risk considered in the New Basel Capital Accord. Juan Cárdenas, Emmanuel Fruchard and Jean-François Picron look…