Technical paper/Counterparty credit risk
CVA and FVA with liability-side pricing
Wujiang Lou calculates CVA and FVA abiding by the law of one price
Applied risk management series: Counterparty risk exposure metrics
Carlos Blanco outlines an approach to counterparty risk using potential future exposure
Counterparty credit risk pricing and measurement of swaption portfolios
This paper introduces a technique for pricing and risk measurement of portfolios containing swaption contracts in the presence of counterparty credit risk, under general market model and volatility assumptions.
Credit exposure models backtesting for Basel III
The Basel Committee on Banking Supervision has introduced strict regulatory guidance on how to validate and backtest internal model methods for credit exposure. Fabrizio Anfuso, Dimitrios Karyampas and Andreas Nawroth incorporate these guidelines into a…
Exposure under systemic impact
Wrong-way risk (WWR) behaves differently for exposures to systemically important counterparties because their default has the potential to move financial markets before the close-out. Michael Pykhtin and Alexander Sokol show how the traditional exposure…
Wrong-way risk, credit and funding
The risk of exposure and counterparty default probability both increasing – so-called wrong-way risk – is usually understood in terms of the correlation between the two variables. But this approach is focused more on the centre of the distribution, and…
Wrong-way risk, credit and funding
The risk of exposure and counterparty default probability both increasing – so-called wrong-way risk – is usually understood in terms of the correlation between the two variables. But this approach focuses more on the centre of the distribution. This…
CDSs, CVA and DVA – a structural approach
CDSs, CVA and DVA – a structural approach
Cutting Edge introduction: Wrong-way risk and the limits of correlation
Traditional models for wrong-way risk focus on the correlation between default and exposure – a blunt tool for a tail risk. Alternatives are thin on the ground, but a scenario-based approach may provide some fresh insight. Laurie Carver introduces this…
Wrong-way risk, credit and funding
Wrong-way risk, credit and funding
Closing out DVA
Closing out DVA
DVA for assets
DVA for assets
Closing out DVA
Closing out DVA
The impossibility of DVA replication
The impossibility of DVA replication
Cooking with collateral
Cooking with collateral
Cutting CVA's complexity
Cutting CVA's complexity
Model foundations of the Basel III standardised CVA charge
Model foundations of the Basel III standardised CVA charge
Downgrade termination costs
Downgrade termination costs
Cutting Edge introduction: clarity needed on credit adjustments
Credit and credibility
Cutting Edge: the year of CVA
The year of CVA
Close-out convention tensions
Close-out convention tensions