RESOURCES

Whitepapers

Unlock valuable insights into the financial markets with our collection of whitepapers.

OIS and CSA Discounting

OIS and CSA Discounting

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.

read more
CVA, DVA and Hedging Earnings Volatility

CVA, DVA and Hedging Earnings Volatility

Credit Value Adjustment (CVA) is the amount subtracted from the mark-to-market (MTM) value of derivative positions to account for the expected loss due to counterparty defaults. Debt Value Adjustment (DVA) is basically CVA from the counterparty’s perspective. If one party incurs a CVA loss, the other party records a corresponding DVA gain.

read more
The Evolution of Counterparty Credit Risk

The Evolution of Counterparty Credit Risk

Although the recent crisis has brought a heightened focus, counterparty credit risk theory and practice have been evolving for over a decade. Initially banks addressed the problem from their traditional financing experience while investment banks approached it from a derivatives perspective.

read more
CVA, DVA and Bank Earnings

CVA, DVA and Bank Earnings

Credit Value Adjustment (CVA) is the amount subtracted from the mark-to-market (MTM) value of derivative positions to account for the expected loss due to counterparty defaults.

read more
Basel III and Systemic Risk

Basel III and Systemic Risk

Basel III substantially raises the amount and quality of core Tier one capital from 2% to 7%, plus introduces an additional countercyclical buffer of up to 2.5% and a discretionary surcharge for ‘systemically important’ institutions, i.e., the big dealers.

read more

Let's Talk!

Schedule a personalised demo today

Loading...