After the 2007 crisis, CCR was identified as one of the major cause of the turmoil in the financial market, and mostly materialised through downgrade and loss in value, more than actual defaults.

Recent years have seen valuation adjustments take centre stage in the pricing and valuation of OTC derivatives. Costs and benefits arising from credit (CVA), debt (DVA), funding (FVA) and collateral (ColVA) have become critically important in defining the dynamics of OTC markets. The newest - and perhaps most significant - member of the VA family is KVA (capital value adjustment).

What is your area of business and principal activities? Tiden Capital is a private investment company with over $100 million in assets under management. The firm is focused on relative value and corporate structured credit opportunities, including CDS and CDS index tranche products. At the time when you were looking at solutions, what was the […]

Senior practitioners from across the industry provide their views on the developments and key challenges facing the OTC derivatives market. Paul Lewitt, Former Global Head of Credit Trading, Lloyds Banking Group Prof. Moorad Choudhry, Department of Mathematical Sciences, Brunel University Dr. Mariam Harfush-Pardo, Market & Counterparty Risk Technical Specialist, Prudential Regulation Authority Jean-Roch Sibille, Head […]

One of the key shortcomings of the first two Basel Accords is 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 Basel III addresses […]

Prior to the credit crisis, interest rate modelling was generally well understood. The underlying fundamental principles had existed for over 30 years with steady evolution in areas that were most relevant to options and complex products.

There is currently a strong market focus on Counterparty Credit Risk and more specifically on Credit Value Adjustment (CVA). The attention is predominantly towards the issue of efficient CVA pricing as opposed to implications in terms of risk management and capital requirements. However, since the recent crisis, another issue has gained prominence; the significant losses that counterparty credit risk can cause if not correctly managed.

​What is the history and background of your company? KLP Kapitalforvaltning AS is the asset management subsidiary of KLP, one of Norway’s largest insurance companies, KLP provides insurance to municipalities and public sector businesses with 320 billion NOK under management. KLP is mutually owned by its customers and have over 800 employees. I have been […]

Buy side firms face a rapidly changing operating environment. They need not only to comply with the regulations, but also to adapt to a new marketplace.