Estimating a Covariance Matrix for Market Risk Management and the Case of Credit Default Swaps

2017 ◽  
Author(s):  
Richard Neuberg ◽  
Paul Glasserman
Keyword(s):  
Risk Management ◽  
Covariance Matrix ◽  
Credit Default Swaps ◽  
Market Risk ◽  
Credit Default

scholarly journals Credit Default Swaps in the External Public Debt Management

2020 ◽  
Vol 4 (46) ◽  
pp. 326-333
Author(s):  
A. Y. Lupenko ◽  
Keyword(s):  
Risk Management ◽  
Public Debt ◽  
Management System ◽  
Credit Default Swap ◽  
Credit Default Swaps ◽  
Debt Management ◽  
Risk Management System ◽  
Credit Default ◽  
Public Debt Management ◽  
Default Swap

The article aims at systematizing the theoretical and methodological foundations of using credit default swaps in the external public debt management. Theoretical principles of using credit default swaps in the external public debt management are studied. The advantages and disadvantages of credit default swaps as derivative financial instruments are generalized. It is shown that the main disadvantages of credit default swaps are their speculative character and dependence on international rating agencies, as well as lack of proper regulation in the synthetic securitization of debt-based assets. The mechanism of credit default swap functioning in the risk management system in external state borrowings is conceptualized. The factors influencing the value of the credit default swap in the risk management system in external government borrowing are identified. It is shown that the main factors are the sovereign credit rating, the maturity of debt securities, liquidity and yield of external government bonds, market demand and supply of debt securities and default swaps. The dynamics of the value of credit default swaps on Ukraine’s debt securities is analyzed. The relationship between the swap value and geopolitical factors in the formation of the international investment position of the state is shown. In order to increase the efficiency of credit default swaps in external public debt management and minimize the interest rate risks of external government borrowings, it is suggested to amend norms and regulations, providing for the essence of default swap, the composition of the parties, accounting and value formation peculiarities.

Do Firms Benefit from Carbon Risk Management? Evidence from the Credit Default Swaps Market

2022 ◽  
Author(s):  
Huu Nhan Duong ◽  
Petko S. Kalev ◽  
Madhu Kalimipalli ◽  
Saurabh Trivedi
Keyword(s):  
Risk Management ◽  
Credit Default Swaps ◽  
Credit Default

xVA: DEFINITION, EVALUATION AND RISK MANAGEMENT

2020 ◽  
Vol 23 (01) ◽  
pp. 2050006
Author(s):  
LIXIN WU ◽  
DAWEI ZHANG
Keyword(s):  
Risk Management ◽  
Interest Rate ◽  
Liquidity Risk ◽  
Credit Default Swaps ◽  
Interest Rate Swap ◽  
Funding Liquidity ◽  
Credit Default ◽  
Risk Neutral ◽  
Default Risks ◽  
Rate Swap

xVA is a collection of valuation adjustments made to the classical risk-neutral valuation of a derivative or derivatives portfolio for pricing or for accounting purposes, and it has been a matter of debate and controversy. This paper is intended to clarify the notion of xVA as well as the usage of the xVA items in pricing, accounting or risk management. Based on bilateral replication pricing using shares and credit default swaps, we attribute the P&L of a derivatives trade into the compensation for counterparty default risks and the costs of funding. The expected present values of the compensation and the funding costs under the risk-neutral measure are defined to be the bilateral CVA and FVA, respectively. The latter further breaks down into FCA, MVA, ColVA and KVA. We show that the market funding liquidity risk, but not any idiosyncratic funding risks, can be bilaterally priced into a derivative trade, without causing price asymmetry between the counterparties. We call for the adoption of VaR or CVaR methodologies for managing funding risks. The pricing of xVA of an interest-rate swap is presented.

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