Technical paper/Counterparty credit risk
In the balance
In the balance
Counterparty risk capital and CVA
Counterparty risk capital and CVA
Real-time counterparty credit risk management in Monte Carlo
Real-time counterparty credit risk management in Monte Carlo
Capturing credit correlation between counterparty and underlying
Capturing credit correlation between counterparty and underlying
Risky funding with counterparty and liquidity charges
Risky funding with counterparty and liquidity charges
Continuing to rebuild
Degrees of influence
Two curves, one price
The financial crisis multiplied the yield curves used to price interest rate derivatives, making traditional no arbitrage pricing no longer valid. By taking into account the basis adjustment bootstrapped from market basis swaps and using a foreign…
Two curves, one price
Interest Rate Derivatives
Two curves, one price
The financial crisis has multiplied the yield curves used to price plain vanilla interest rate derivatives, making classic single-curve no-arbitrage relations and pricing formulas no longer valid. Marco Bianchetti shows that no-arbitrage can be recovered…
Bilateral counterparty risk with application to CDSs
Previous research on credit valuation adjustments (CVAs) with correlation between underlying and counterparty default, including volatilities of both, assumed unilateral default risk. However, the crisis prompted counterparties to ask institutions to…
Counterparty risk and CCDSs under correlation
Counterparty risk under correlation is relatively unexplored in the financial literature. Damiano Brigo and Andrea Pallavicini extend previous analysis beyond swap portfolios. A stochastic-intensity jump-diffusion model is adopted for the default event,…
Counterparty risk and CCDSs under correlation
Hybrid Products
Wrong way risk modelling
Beyond its potential impact on counterparty risk exposure, the wrong way risk arising in some derivatives transactions raises important modelling challenges. Christian Redon presents two suitable models based on conditional expected exposure. Among…
Analysing counterparty risk
In an attempt to improve on existing regulatory approaches to derivatives counterparty creditrisk, Eduardo Canabarro, Evan Picoult and Tom Wilde present a new method based on expectedpositive exposure (EPE).
Analysing counterparty risk
In an attempt to improve on existing regulatory approaches to derivatives counterparty creditrisk, Eduardo Canabarro, Evan Picoult and Tom Wilde present a new method based on expectedpositive exposure (EPE). Using a one-factor conditional independence…
Copula vulnerability
Counterparty credit risk
Calculating with counterparties
Masterclass – with JP Morgan