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 trading book exposures witnessed during the financial crisis. FRTB aims to address shortcoming of the current Basel 2.5 market risk capital framework.

Funding Valuation Adjustment (FVA) is introduced to capture the incremental costs of funding uncollateralized derivatives. It can be referred to as the difference between the rate paid for the collateral to the bank’s treasury and rate paid by the clearinghouse. Also FVA can be thought of as a hedging cost or benefit arising from the mismatch b…[Read more]

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 the risk-free portfolio value and the true/risky portfolio value. In practice, CVA should be computed at portfolio level. That means calculation…[Read more]

Prior to the advent of the printing press, the page—the medieval manuscript page—was often complexly multimodal, containing elaborate scripts, rubrications, and illuminations; the medieval page was a multimedia experience for its community of readers, viewers, and listeners. Both writing and the page are, and always were, visual: rendered in mul…[Read more]

Prior to the advent of the printing press, the page—the medieval manuscript page—was often complexly multimodal, containing elaborate scripts, rubrications, and illuminations; the medieval page was a multimedia experience for its community of readers, viewers, and listeners. Both writing and the page are, and always were, visual: rendered in mul…[Read more]

Collateral is a property or an asset that a borrower offers as a way for a lender to secure the loan. Collateral arrangement is a risk reduction tool that mitigates risk by reducing credit exposure. Collateral doesn’t turn a bad counterparty into a good one and doesn’t eliminate credit risk. Instead, it just reduces the loss at the time of def…[Read more]

Abstract: The current article explores interesting, significant and recently identified nuances in disclosing the professed firm culture in the virtual realm. Its emphasis is set on two exotic instruments – organizational mantra and memorandum that senior managers in business organizations may use to successfully clarify and communicate what is t…[Read more]

Counterparty credit risk (CCR) is the risk of loss that will be incurred in the event of default by a counterparty. It will be incurred in the event of default by a counterparty. Only over-the-counter (OTC) derivatives and financial security transactions (e.g., repo) are subject to counterparty risk. If one party of a contract defaults, the…[Read more]

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-defaulting party. It will be incurred in the event of default by a counterparty.

Purpose – This article aims to outline and analyze the role, structure and dominating content of professed organizational culture among the companies in the defense industry in Bulgaria as conscious and the official expression of their leadership intentions within the contemporary business environment, uniquely justifying the existence of each e…[Read more]

Pakistan has made considerable developments in Microfinance though a late starter in this industry. The sector formally started to develop from 1999 although; semiformal sectors since the 1980s are providing micro-credit in Pakistan. Including Non-Government Organizations (NGOs) and Rural Support Programs (RSPs). Subsidies have played an important…[Read more]

Previous studies suggest that narrative fiction promotes social justice by increasing empathy, but critics have argued that the partiality of empathy severely limits its effectiveness as an engine of social justice, and that what needs to be developed is universal compassion rather than empathy. We created Compassion-Cultivating Pedagogy (CCP) to…[Read more]

This article presents a generic model for pricing financial derivatives subject to counterparty credit risk. Both unilateral and bilateral types of credit risks are considered. Our study shows that credit risk should be modeled as American style options in most cases, which require a backward induction valuation. To correct a common mistake in the…[Read more]

This article presents a new model for valuing a credit default swap (CDS) contract that is affected by multiple credit risks of the buyer, seller and reference entity. We show that default dependency has a significant impact on asset pricing. In fact, correlated default risk is one of the most pervasive threats in financial markets. We also show…[Read more]

This paper presents an analytical model for valuing interest rate swaps, subject to bilateral counterparty credit risk. The counterparty defaults are modeled by the reduced-form model as the first jump of a time-inhomogeneous Poisson process. All quantities modeled are market-observable. The closed-form solution gives us a better understanding of…[Read more]

The one-side defaultable financial derivatives valuation problems have been studied extensively, but the valuation of bilateral derivatives with asymmetric credit qualities is still lacking convincing mechanism. This paper presents an analytical model for valuing derivatives subject to default by both counterparties. The default-free interest…[Read more]