RiskTech Forum

Research

TriOptima: Hedging error in CVA

12 Sep 2018

The Probability Matrix Method, used to model Counterparty Credit Risk (CCR), relies on common transition probability matrices for generating scenarios and pricing netting sets. This allows the use of consistent models for simulation and pricing when computing and hedging X-Value Adjustments (XVA). Traditional XVA systems separate instead the tasks of generating market factor paths and pricing netting set values. The pricing models generally imply a different dynamic behaviour of the underlying from the one assumed by the simulation model in the path generation phase. For valuation adjustments, such as the Credit Value…

MSCI: Anatomy of Hedge Fund Portfolios

1 Aug 2018

Mega: Business-IT Alignment in the Digital Era

1 Aug 2018

Chappuis Halder: Securities Financing Transactions Regulation (SFTR)

1 Aug 2018

Capco: Banking Benchmarks: What’s The Going Rate?

1 Aug 2018

CFSI: Addressing the Business Needs of Small Business Owners

1 Aug 2018

Accuity: Virtual Currencies – the Wild West of Finance?

1 Aug 2018

Chartis: Vendor Analysis: Moody’s Analytics - CECL Technology Solutions 2018

11 Jul 2018

Chartis: Making the most of recovery

3 Jul 2018

Capco: Maximizing the Value of EMIR and MiFID II Investments

1 Jul 2018

MSCI: How can Factors be Combined?

1 Jul 2018

Capco: RPA in the Credit Card Industry

1 Jul 2018

MSCI: Integrated Factor Crowding Model

1 Jul 2018

Capco: Consolidated Audit Trail and its Data Potential

1 Jul 2018

Accuity: Why and efficient Payment Ecosystem is Key to Cracking LatAm’s E-Commerce Potential

1 Jul 2018

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