Mark-to-market valuation
The credit skew market’s surprise package
Mediobanca’s €1.6 billion in issuance makes small Italian investment bank a market titan
Deutsche’s counterparty exposures at odds with capital
Large share of bank’s trades capitalised under internal model method
Enria takes aim at eurozone banks’ sovereign exposures
New ECB supervision chair floats Pillar 2 concentration charge, criticises use of IFRS 9
IFRS 9 drives appetite for long-dated hedges in Asia
New accounting standard helps manage mark-to-market volatility of long-term trades
Lifetime achievement award: Craig Broderick
Risk Awards 2019: Goldman’s long-serving CRO helped bank survive the crisis, and then adapt to new world
Korean insurers shun structured notes ahead of IFRS 9
Prospect of earnings volatility blamed as big buyers of notes turn to less exotic assets
UK derivatives market arrests decline
Gross derivatives values grow £132 billion quarter to quarter
Risk evolves in springtime of energy spin-offs
New risk management challenges as firms split legacy fossil-fuel operations from renewable-focused areas
UK bank derivative balances a mixed bag
Mark-to-market derivative balances with UK entities deteriorate; improve with non-UK firms
XVAs: a gap between theory and practice
Hull and White see splits on FVA, MVA, KVA as irreconcilable
New research shows FVA is not part of P&L – Duffie
Pricing experts defend practices that resulted in huge FVA losses
Totem poll: users of Markit service call for change
Libor-like consensus methodology creates bad incentives, clients fear
Noble Group challenged over mark-to-market accounting
Mysterious critic calls trader's long-dated contract valuations into question
Evolving reporting/valuations in $2.8trn fund admin survey
National regulator AIFMD validation checks said to be neither uniform nor consistent
Prudent valuation vs confidence accounting
Accounts shouldn't pretend valuations are exact - but how best to fix the problem?
Looking back: Post-Enron nerves give way to longer-term fears
Jitters subside as industry ponders role of trading and mark-to-market accounting
Hedge backtesting for model validation
Derivatives pricing and expected exposure models must be backtested as a basic regulatory requirement. But what does this mean exactly, and how can it be used to reserve against model risk? Lee Jackson introduces a general backtesting framework for…
Impact-adjusted valuation and the criticality of leverage
Impact-adjusted valuation and the criticality of leverage
Impact-adjusted valuation and the criticality of leverage
Impact-adjusted valuation and the criticality of leverage
Cutting Edge introduction: The tipping-point for leverage
Borrowing the stake for a bet is as old as the hills – and so is losing it. But how much debt is too much for a given position? A group of quants believe they know. Laurie Carver introduces this month’s technical articles
Impact-adjusted valuation and the criticality of leverage
Impact-adjusted valuation and the criticality of leverage
DVA: a 'shameful scam'
DVA: a ‘shameful scam’
Liquidation cost: why mark-to-market values are wrong
The cost of liquidation
Basel DVA capital deduction could cost banks billions
Billions of dollars in capital could be excluded under Basel proposals on derivatives DVA - with US banks hardest hit