Technical paper/Regulation
Capital and funding
Quants propose KVA and FVA accounting framework based on Solvency II regulation
Regulatory-optimal funding
A treasury viewpoint on the funding optimization problem
Cutting Edge introduction: pricing the CVA doom loop
Pricing the CVA doom loop
DVA: a 'shameful scam'
DVA: a ‘shameful scam’
Model foundations of Basel III standardised CVA charge
The credit valuation adjustment (CVA) capital charge in Basel III comes in two flavours: advanced (simulations) and standardised (formula). In this article, Michael Pykhtin shows that the standardised CVA charge formula can be obtained by adding several…
Model foundations of the Basel III standardised CVA charge
Model foundations of the Basel III standardised CVA charge
Sponsor covenants in risk-based capital
Sponsor covenants in risk-based capital
Regulation has not kept pace with innovation in the fund management industry
Non-financial risks examined
Validating interest rate models under Solvency II
With Solvency II fast approaching, obtaining approval for your internal model is increasingly important. A key part of this process will be to demonstrate the ability of the model’s scenario generation to describe the evolution of interest rates…
Roles of depositaries and custodians in a Ucits hedge fund framework
In the May issue we reported the results of a recent EDHEC-Risk Institute survey on structuring hedge fund strategies as Ucits.
Pricing the bail-out
In an introduction to this month’s Cutting Edge, Risk’s technical editor, Mauro Cesa, and assistant technical editor, Laurie Carver, look at a new model proposed by a former Risk magazine quant of the year, which attempts to quantify the effect of state…
Fast Monte Carlo Bermudan Greeks
Cutting Edge - Interest Rates
Zur Validierung von Marktrisikomodellen
Der Neueste Stand - Marktrisiko
Solvency II Reinsurance - Counterparty default risk
Technical papers
Putting a dampener on Solvency II
Technical papers
Un modello di Vasicek multistato con correlazione tra tassi di default e perdita
Approfondimenti - Rischio di credito