Technical paper/Risk management
Robust hedging of withdrawal guarantees
Robust hedging of withdrawal guarantees
Cutting Edge introduction: Wrong-way risk and the limits of correlation
Traditional models for wrong-way risk focus on the correlation between default and exposure – a blunt tool for a tail risk. Alternatives are thin on the ground, but a scenario-based approach may provide some fresh insight. Laurie Carver introduces this…
DVA for assets
DVA for assets
Wrong-way risk, credit and funding
Wrong-way risk, credit and funding
Cutting Edge introduction: Goodwill for DVA
Goodwill blunting
Closing out DVA
Closing out DVA
DVA for assets
DVA for assets
Cutting edge: Hedging price and volumetric risks of fixed-price load-serving contracts in natural gas markets
Cutting edge: Hedging price and volumetric risks of fixed-price load-serving contracts in natural gas markets