Counterparty risk
Derivatives pricing under bilateral counterparty risk
The authors consider risk-neutral valuation of a contingent claim under bilateral counterparty risk using the well-known reduced-form approach.
Banks say Europe’s CVA proxy-spread plans lack flexibility
Dealers welcome EBA proposals but say limited number of eligible counterparties means few benefits
Buy side unimpressed with Mifid II cost transparency rules
Clients question value of receiving dealers’ swaps profit margin data
World Bank bets on compression for EM currencies
NY-based start-up LMRKTS gets backing to support illiquid markets
Does initial margin eliminate counterparty risk?
Andersen, Pykhtin and Sokol show the existence of residual exposure after initial margin posting
Start-up looks to break swaps clearing bottleneck
Sernova promises everything an FCM can do – apart from taking risk
Swaps play hidden role in UK banks’ ring-fencing plans
UK dealers avoid mass transfers of derivatives
Bank risk manager of the year: SG CIB
Risk Awards 2017: Bespoke stress tests helped navigate Brexit and autocallable pressure
Non-cleared margin requirements: The top five considerations
Sponsored feature: TriOptima
Isda touts CSA standardisation in margining countdown
But scale of challenge becomes clear in early tussles between dealers and clients
Topology matters: why regulators may be missing a trick
Bank networks evolve to be liquid but unstable, new research shows
Asset managers lead the charge for voluntary clearing
Voluntary clearing volumes jump 80% as non-cleared margin rules take effect
CVA models may miss half of true default risk
Benefits of initial margin also overstated, new research finds
Why not having AAD needn’t be the end of the world
Optimisation method offers quicker and more focused way of making XVA calculations
Indecent exposure: Fed limits threaten swaps liquidity
Unworkable due diligence rules may prompt G-Sibs to cut single counterparty exposures below 5%
Credit risk in energy: Best practices for challenging times
Sponsored webinar: Moody's Analytics
CVA desks suffer Brexit double whammy
Cross-gamma losses estimated at more than $25m for each dealer
A bond consistent derivative fair value
This paper presents a rigorously motivated pricing equation for derivatives.
Basel CVA bombshell widens gulf with bank accounting
Dealers face conflicting incentives and capital hike after internal models are blown away
Traders shocked by $712m CVA loss at StanChart
Bank’s new methodology has been used by some rivals for more than a decade
Contingent credit default swaps: accurate and approximate pricing
This paper analyzes the pricing of contingent credit default swaps.
EBA lacks mandate for new CVA push, critics claim
Move to hike counterparty risk capital has corporate treasurers ‘fuming’
Risk analytics head Canabarro leaving Morgan Stanley
Eduardo Canabarro set to be replaced by Andreas Gocksch, say sources
The funding invariance principle
Youssef Elouerkhaoui shows how the choice of discounting rate is irrelevant for pricing