This article includes a series of Risk Management videos, covering several topics which are relevant specially for Market Risk professionals. The videos included cover the following topics (click on the different topics below to access directly the embedded video). Forwards Futures Hedging Hedging with Futures Put options Call options Put-Call Parity Combining Payoffs Payoffs Total […]
Derivatives
MIFID (II) AND MIFIR
Whats is MiFID? MiFID is the Markets in Financial Instruments Directive (2004/39/EC). It has been applicable across the European Union since November 2007. It is a cornerstone of the EU’s regulation of financial markets seeking to improve the competitiveness of EU financial markets by creating a single market for investment services and activities and to […]
BIS: Review of the Credit Valuation Adjustment Risk Framework
This consultative paper presents a proposed revision of the Credit Valuation Adjustment (CVA) framework set out in the current Basel III capital standards for the treatment of counterparty credit risk. CVA is an adjustment to the fair value (or price) of derivative instruments to account for counterparty credit risk (CCR). Thus, CVA is commonly viewed […]
