counterparty-credit-risk
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SA-CVA : Basel III
Hello David, I was going through Basel III finalisation and have found that the standard approach does not employ exposure at all in the calculation of CVA. 1. Does this mean SA-CVA will be will be in the form of spread which must be reduced from the price of a derivative? 2. Will be grateful...- Sameera
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- basel iii counterparty-credit-risk cva sa-cva
- Replies: 0
- Forum: P2.T6. Credit Risk Measurement & Management
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Archegos Capital and Risk Management
Hi Fellow Risk Managers and Aspiring Risk Managers The most recent event that has highlighted the importance of sound risk management at Banks is Archegos Capital. It was a classic case of Banks not focusing too much on Concentration, Collateral, Correlation and Counterparty Risk The other one...- QuantMan2318
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- correlation counterparty-credit-risk total return swaps
- Replies: 1
- Forum: Risk (general)