A sample of articles published by Quantifi in leading industry publications
CVA, DVA & Bank Earnings
Derivatives Week Learning Curve
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The meaning of DVA and how it relates to CVA
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Q3 DVA results for the five largest U.S banks, along with the increases in their respective CDS spreads that drove these gains
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The subsequent tightening of spreads during October and the estimated monthly DVA loss
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How much the DVA could move during Q4 due to movements in market factors other than credit spreads
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How some banks hedge DVA in order to reduce earnings volatility
Basel III & Systemic Risk
Derivatives Week Learning Curve
One of the key shortcomings of the first two Basel Accords is that they approached the solvency of each institution independently. The recent crisis highlighted the additional 'systemic' risk that the failure of one large institution could cause the failure of one or more of its counterparties, which could trigger a chain reaction.
Interest Rate Models - OIS & CSA Discounting
Derivatives Week Learning Curve
Prior to the credit crisis, interest rate modeling was generally well understood. The underlying fundamental principles had existed for over 30 years with steady evolutions in areas that were most relevant to options and complex products. Credit and liquidity were ignored as their effects were minimal. Pricing a single currency interest rate swap was straightforward. A single interest rate curve was calibrated to liquid market products and future cash flows were estimated and discounted using this single curve. There was little variation between implementations and results across the market were consistent.
Challenges in Implementing a Counterparty Risk Management Process
Structured Credit Investor
David Kelly, director of credit products at Quantifi, explores the key challenges for banks in the implementation of counterparty risk management, focusing on data, technology and operational issues in the context of current trends and best practices
Accounting for the Changes in Valuation
Derivatives Week Learning Curve
In the aftermath of the credit crisis, spreads soared to unpredicted heights. Basis spreads between three-month Libor and six-month Libor, for example, went from fractions of a basis point (where they had been quoted for decades) to double digits in a matter of months. Practitioners had to revise valuation methodologies to reflect these changes in the market. The accounting profession is now recognizing that these new market practices have important accounting implications as well.