Publications
Incremental Risk Charge; A survey of banks’ preparedness
This survey conducted by InteDelta and sponsored by SunGard investigates bank’s preparations for Incremental Risk Charge.
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Gaining from your own default – counterparty credit risk and DVA
A trend that has become increasingly relevant for financial institutions to consider is the bilateral nature of counterparty risk. This involves quantifying counterparty risk under the assumption of one’s own default where a defaulting institution “gains” on any outstanding liabilities that need not (cannot) be paid in full. This component is often named DVA (Debit Valuation Adjustment) and is the mirror image of the more commonly known unilateral CVA (Credit Valuation Adjustment).
This InteDelta Thought Leadership paper investigates some of the major issues financial institutions are facing in considering DVA.
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Reflecting collateral in counterparty exposure
Institutions invest a lot of effort in developing methodologies for the calculation of credit exposure for traded products. Collateral however, is often not treated in a sophisticated manner, resulting in credit exposure that can be significantly over or under stated. This presentation by Michael Bryant discusses reflecting collateral in counterparty exposure.
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Economic Capital for Market Risk
The financial crisis has focused institutions’ minds on how they measure risk. In this survey we examine the methodologies used by major banks to quantify their economic capital for market risk and what changes they are planning to make.
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Trends in collateral management for fund management
InteDelta Director Michael Bryant recently presented at the Collateral and Margin Management for fund managers conference in London discussing trends within this sphere.
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Article on counterparty risk in Alternative Investment Review
In the wake of the recent banking crisis, hedge fund managers are now urgently addressing their approach to counterparty risk. Michael Bryant, director of InteDelta, discusses this development in an article for the Alternative Investments Magazine.
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Paper on Issuer Risk
The Sub-Prime crisis has shown that issuer risk cannot be neglected. This paper examines the organisational, measurement and system issues that institutions are facing in managing this risk.
Survey on hedge fund margining
Our survey on hedge fund margining examines the development of banks™ approaches to margining hedge funds, the challenges banks are facing as they are forced to compete on credit terms, and hedge funds™ preferences for the way in which they are margined.
Survey on Potential Future Exposure methodologies
InteDelta has conducted a survey of major banks to identify the trends in the development of methodologies and systems for the measurement of Potential Future Exposure for derivatives. The survey covers the types of methodologies adopted, the factors driving banks to make changes, and the systems used for the calculation of PFE.
