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Technical paper/Counterparty risk

Risk management

A parametric approach to counterparty and credit risk

19 Dec 2014

abstract-time-brown-hourglass-sand-and-blue-clockfaces

Credit risk

Systematic risk factors redefined

Systematic risk factors redefined

28 Oct 2013

dynamic explosion

Credit risk

Exposure under systemic impact

Exposure under systemic impact

20 Aug 2013

Risk management

To link or not to link? Netting and exposures between central counterparties

27 Jun 2013

cutting-edge-pic-1

Credit risk

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…

28 Mar 2013

Credit risk

Counterparty risk subject to additional termination event clauses

27 Mar 2013

chalk-mathematical-equations-on-blackboard-cubes

Risk management

Closing out DVA

Closing out DVA

31 Jan 2013

Credit risk

Addendum to “Partial differential equation representations of derivatives with bilateral counterparty risk and funding costs”

27 Sep 2012

Credit risk

Collateralized credit default swaps and default dependence: implications for the central counterparties

27 Sep 2012

lego model

Credit risk

Cutting CVA's complexity

Cutting CVA's complexity

04 Jul 2012

mathematics

Credit risk

Conversion of upfront CVA into running CVA

Conversion of upfront CVA into running CVA

31 Jan 2012

Credit risk

Cutting Edge introduction: clarity needed on credit adjustments

Credit and credibility

08 Dec 2011

Credit risk

Cutting Edge: the year of CVA

The year of CVA

08 Dec 2011

Credit risk

Getting CVA up and running

Getting CVA up and running

27 Oct 2011

business graph

Credit risk

Capturing credit correlation between counterparty and underlying

Cutting Edge

06 May 2011

Original research

Pricing counterparty risk at the trade level and credit valuation adjustment allocations

Research Papers

07 Dec 2010

Original research

The pricing implications of counterparty risk for non-linear credit products

20 Dec 2005

Original research

Credit default swap valuation with counterparty default risk and market risk

13 Feb 2004

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