Whitepapers and articles providing insight on key topics related to the financial markets.
This whitepaper explores the challenges, risk factors, calculation techniques, and concepts for measuring financial instruments under IFRS 13. It examines the effect of CVA and DVA on hedge effectiveness, the different approaches for testing hedge effectiveness and best practice for inclusion or exclusion of CVA and DVA in setting up hypothetical derivatives.
With the introduction of IFRS 13, the requirements to calculate complex variables such as CVA and DVA remains. IFRS 13 will have significant implications for all firms that measure financial assets at fair value.
Interest on the topic of Funding Valuation Adjustment (FVA) was renewed, particularly in light of the JPMorgan’s Q4 2013 earnings report, which for the first time included FVA.
This report covers the competitive landscape for buy-side risk analytics. This report also covers the capabilities and market position of Quantifi for buy-side risk analytics. Chartis believes Quantifi to be one of the leading vendors in the buy-side risk analytics marketplace.
Basel III significantly changes the way in which financial institutions address counterparty credit risk (CCR) and credit value adjustment (CVA).
Institutions need to not only adapt to new ways of measuring and managing risk but may need to reengineer the operating models for substantial parts of their businesses.
CCR can cause significant losses if not managed properly. In response to this pressing matter, regulators have developed a number of alternative approaches to measure this new type of risk, including both standard default risk and market risk, leading to various types of capital requirements. The purpose of this paper has been to assess the impact of these different methodologies on some typical portfolio strategies.
There are two ways for banks to compute CVA VaR, standardised and advanced methods, depending on their current regulatory approval. Furthermore, firms can potentially reduce the capital charges via eligible hedges.
A new generation of interest rate modelling is evolving. An approach based on dual curve pricing and integrated CVA has become the market consensus. There is compelling evidence that the market for interest rate products has moved to pricing on this basis, but not all market participants are at the stage were existing legacy valuation and risk management systems are up to date.
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