cfrm17

cfrm17

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cva cva Public

Credit valuation adjustment (CVA) is the market price of counterparty credit risk that has become a central part of counterparty credit risk management. By definition, CVA is the difference between…

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ccrSimulation ccrSimulation Public

Counterparty credit risk measure is credit exposure. As credit exposures in future are stochastic, one needs to simulate market evolution in order to quantify CCR. This presentation provides some d…

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frtb frtb Public

The Fundamental Review of the Trading Book (FRTB) is a new Basel committee framework for the next generation market risk regulatory capital rules. It is inspired by the undercapitalisation of tradi…

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tradeLifeCycle2 tradeLifeCycle2 Public

All the steps involved in a trade, from the point of pre-negotiations and trade execution through to settlement of the trade, are commonly referred to as the trade life cycle. Trade life cycle cons…

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ccr ccr Public

Counterparty credit risk (CCR) refers to the risk that a counterparty to a bilateral financial derivative contract may fail to fulfill its contractual obligation causing financial loss to the non-d…

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historicalVaR historicalVaR Public

Value at Risk (VaR) is the regulatory measurement for assessing market risk. It reports the maximum likely loss on a portfolio for a given probability defined as x% confidence level over N days. Va…

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