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"Tag: Credit Risk"
Currently, the mandated formula for the calculation for CVA, for regulatory purposes, is as follows
Which equates to
Where 
is the probability of default between time 
and 
. For further read more
What is the impact or what is the potential difference between the regulatory method and whatever model an institution may use to calculate their CVA VaR (as well as their read more
The upshot of our post on Wrong-Way Risk, is that it is entirely possible to need multiple views of CVA. The challenge is now that CVA, an already onerous read more
DVA is the controversial twin of CVA. The acceptence of DVA as a mark-to-market item on derivatives positions should be no more controversial than the acceptance of CVA. If one read more
Speaking at the Risk Annual Summit, Damiano Brigo warned of the potential introduction of systemic risk by institutions hedging their DVA risk.
“If you think about this strategy in 2008, read more
With technology playing a more prominent role in our lives each day, you’ve probably heard the term ‘machine learning’ thrown around – but do you know what it means or read more
Both economic growth and climate change are topics interconnected topics of essential significance. So, we’re taking a closer look at how climate change and economic growth intersect to understand how read more
Cryptocurrencies are never out of the news. That news lurches from woeful pessimism to exuberant optimism giving rise to substantial volatility. Elon Musk punts cryptos passionately, then retracts, then endorses read more
Riskworx Academy recently presented a webinar entitled “The 3 biggest risks in African Banking – Liquidity, Liquidity & Liquidity” to the member banks of Arise Investments. The Arise investment portfolio read more
Older Posts
1 2Case Study 1
Multi-curve Framework
Multi-curve Framework: The TOM covers all aspects of the Global Market business relating to interest rate curves: organisation, including people and skills, governance and control, functions and processes as well read more
Multi-curve Framework: The TOM covers all aspects of the Global Market business relating to interest rate curves: organisation, including people and skills, governance and control, functions and processes as well read more
Case Study 2
Model Validation
Model Validation: Riskworx was engaged to perform a full model review across all asset classes, including valuation, sensitivity, stress testing and historical scenario analysis, and an assessment of parameterizations within read more
Model Validation: Riskworx was engaged to perform a full model review across all asset classes, including valuation, sensitivity, stress testing and historical scenario analysis, and an assessment of parameterizations within read more
Case Study 3
Data Science (Market Data)
They also required the development of control methodologies around the market data time series. Leveraging data science (market data) techniques (Long short-term memory (LSTM) neural networks, autoencoders and convolution neural read more
They also required the development of control methodologies around the market data time series. Leveraging data science (market data) techniques (Long short-term memory (LSTM) neural networks, autoencoders and convolution neural read more
Case Study 4
Collateral, Funding and Discounting
Riskworx produced a theoretical framework and a view of the best practice operating models to manage discounting risk and collateral cost. Riskworx then reviewed the existing framework and provided recommendations read more
Riskworx produced a theoretical framework and a view of the best practice operating models to manage discounting risk and collateral cost. Riskworx then reviewed the existing framework and provided recommendations read more
Case Study 5
Internal Model Approach (Basel)
We delivered a first of its kind, configurable reporting framework, to deliver a wide range of risk analytics on an entirely configurable and automated basis. In addition to the core read more
We delivered a first of its kind, configurable reporting framework, to deliver a wide range of risk analytics on an entirely configurable and automated basis. In addition to the core read more
Case Study 6
Front Office Modernisation
Riskworx were responsible for refactoring the risk environment to improve the analytical capabilities provided by risk, the migration of positions, trading and the risk environment, and engagement with the regulators. read more
Riskworx were responsible for refactoring the risk environment to improve the analytical capabilities provided by risk, the migration of positions, trading and the risk environment, and engagement with the regulators. read more