In the balance redux
Mats Kjaer developes a dynamic balance-sheet pricing model for valuation adjustments
CLICK HERE TO VIEW THE PDF
Understanding the interaction between a new derivative contract, its financing and the wider balance sheet during pricing is critical for dealer profitability. For this purpose, Mats Kjaer develops a structural balance sheet model and demonstrates how it can be used to derive consistent firm and shareholder breakeven prices. The latter price often involves a significant capital valuation adjustment, which can be managed statically or hedged dynamically
Incorporating
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Banking
Market-making in spot precious metals
A market-making framework is extended to account for metal markets’ liquidity constraints
A comparison of FX fixing methodologies
FX fixing outcomes are mostly driven by length of calculation window
Backtesting correlated quantities
A technique to decorrelate samples and reach higher discriminatory power is presented
CVA sensitivities, hedging and risk
A probabilistic machine learning approach to CVA calculations is proposed
Bridging the gap risk reloaded: modelling wrong-way risk and leverage
A model extends the counterparty risk calculation to include nonlinear and complex portfolios
Weighting for leverage
A credit exposure model for leveraged collateralised counterparties is presented
Rethinking P&L attribution for options
A buy-side perspective on how to decompose the P&L of index options is presented
Volatility shape-shifters: arbitrage-free shaping of implied volatility surfaces
Manipulating implied volatility surfaces using optimal transport theory has several applications
