Technical paper/Counterparty
Dynamic margining long/short equity trading strategies
A repo haircut model extends a previous solution for long-only strategies
The cost of hedging XVA
HVA is framed consistently with other valuation adjustments
Client engineering of XVA
A client’s guide to reducing XVA in times of need
Too much, too young: improving the client clearing mandate
We present new evidence of the distribution of risk in client portfolios and use this to motivate clearing policy improvements.
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.
Interoperability between central counterparties
The authors investigate interoperability from the perspective of the multilateral netting property of central clearing.
A dynamic approach to intraday liquidity needs
This paper studies the intraday liquidity needs of systemically important entities using simulations of the various Colombian financial market infrastructures (FMIs). The paper shows that if liquidity in another FMI (based on the proprietary positions of…
Cooking with collateral
Cooking with collateral
Risky funding with counterparty and liquidity charges
Risky funding with counterparty and liquidity charges