Technical paper/Basel III
Credit exposure models backtesting for Basel III
The Basel Committee on Banking Supervision has introduced strict regulatory guidance on how to validate and backtest internal model methods for credit exposure. Fabrizio Anfuso, Dimitrios Karyampas and Andreas Nawroth incorporate these guidelines into a…
Cutting Edge introduction: pricing the CVA doom loop
Pricing the CVA doom loop
Pricing CDSs’ capital relief
Pricing CDSs’ capital relief
Bilateral CVA of optional early termination clauses
Bilateral CVA of optional early termination clauses
Model foundations of Basel III standardised CVA charge
The credit valuation adjustment (CVA) capital charge in Basel III comes in two flavours: advanced (simulations) and standardised (formula). In this article, Michael Pykhtin shows that the standardised CVA charge formula can be obtained by adding several…
Cutting Edge introduction: The origins of the standardised CVA charge
The origins of CVA
Model foundations of the Basel III standardised CVA charge
Model foundations of the Basel III standardised CVA charge
Stress testing with fully flexible causal inputs
Stress testing with fully flexible causal inputs
Cutting Edge introduction: risky contributions
Risky contributions
Cutting Edge: the year of CVA
The year of CVA
Perverse capital
Perverse capital
Counterparty risk capital and CVA
Counterparty risk capital and CVA
CVA and the equivalent bond
CVA and the equivalent bond