Valuation
'Cherry-picking' claims fly in CSA rate floor negotiations
Traders accused of self-interest in negative rate floor discussions
Strong banks, weak stocks: should regulation share the blame?
Analysts say regulatory risk plays a part in weak bank valuations and wobbly prices
The double default value-of-the-firm model
This paper analyses whether the double default treatment under Basel II is appropriate to capture the asymmetric relationship between an obligor and its guarantor.
Dealers overpricing CLNs, research suggests
Information asymmetry and illiquidity driving up prices
Beyond Libor: what reform plans mean for swaps users
Big bang still an option in plans to propagate new benchmarks
Small banks face rate options valuation model change
Negative rates causing pricing model rethink
Cutting edge introduction: Expanding collateral options
Two RBC quants propose a way to value CSAs with more than two currency posting options
Totem poll: users of Markit service call for change
Libor-like consensus methodology creates bad incentives, clients fear
Noble Group defends off-balance sheet inventory deals
Firm’s treatment of optional commodity inventory sales is appropriate, CEO says
Evolving reporting/valuations in $2.8trn fund admin survey
National regulator AIFMD validation checks said to be neither uniform nor consistent
Quant ideas: Do we need realistic models?
Realistic models not necessarily a prerequisite for successful risk management
MVA by replication and regression
Burgard and Kjaer method is extended to include margin valuation adjustment
Anatomy of a model: Valuation of physical assets
Quant ideas paper dissects layers of valuation models for physical assets
Goldman hid swaps profits from clients, whistleblower claims
US bank accused of manipulating client valuation reports to mask profits
Robust valuation and hedging of tolling agreements and physical assets
Flexible, martingale duality-based method provides reliable valuation
SEC to focus on fair value in alternative mutual funds
Fund managers need to ensure internal controls are up to the mark
Hedge funds see fund admin offering divergence
Providers distinguished by Emir and AIFMD reporting and valuation services
Hedge funds seek third-party Emir valuations
Delegating Emir reporting may cause more problems than it solves
Commerzbank's role in the creation and development of the structured products market
Sponsored interview: Commerzbank
PRA ramps up monitoring of valuation risk
Regulator reasserts governance and control requirements ahead of Solvency II
Fair value accounting's blind spot
Market prices ignore time-to-liquidation, says David Rowe
UK regulator warns insurers over poor asset valuation controls
Failures observed in valuation governance, documentation and models
Cutting edge: Valuation and optimal hedging of storage contracts in incomplete gas markets
In this paper, Magnus Wobben, Tilman Huhne, Yuri Ivanov and Sebastian Hanneken examine the impact of market incompleteness on the valuation of gas storage contracts. In contrast to prior research, their proposed valuation framework accounts for the…
German banks agree to reveal structured product valuations
In a bid to stay one step ahead of the regulators, a consortium of major German banks has volunteered to boost disclosure around the pricing and payout probabilities of their structured products