Credit Derivatives
105 white papers and resources
Risk Library hosts a number of Credit Derivative white papers, analyst reports and legal briefings.
Stochastic modelling of the loss given default (LGD) for non-defaulted assets
This paper introduces a different recovery forecasting methodology for LGD (loss given default) parameter and explores stochastic forecasting with details of how to calibrate the model.
Collateral management in an uncertain world
This white paper assesses the scale of the collateral management challenge and considers how firms can best prepare for the future by building greater flexibility around collateral management systems and processes.
How banks can keep pace with XVA
With budgets and resources under pressure, and traditional systems struggling to cope with data volume and complexity, this white paper considers how banks can leverage new technologies to gain a more consistent view across the trades in their portfolios, saving time and money in the process.
The Current State of XVA Adoption
This XVA forum features a panel of industry leaders assessing the major factors driving XVA adoption today.
The state of the XVA space - MVA, pre-trade challenges and more
This white paper examines the state of the XVA space. It explores how market participants are grappling with the conceptual and practical challenges of MVA, which XVAs are most important now, and how cloud-based solutions could be beneficial for XVAs.
FX market structure in flux - The future of FX derivatives markets
This white paper examines the results of a recent survey conducted by FX Week in association with LCH ForexClear. It explores the impact of the financial crisis on FX derivatives, the effectiveness of clearing, compression and optimisation tools in minimising costs, and what lies ahead for FX…
LIBOR Alternative Rates - The Transition and the Future of OTC Derivatives Pricing and Curve Construction
The development of new references rates alternative to LIBOR are expected to have direct consequences for derivatives contracts, particularly for those that do not mature until after 2021. This white paper discusses these issues and the preparations derivatives market participants should consider…
Packing the overnight bag: risk-free rates after Libor
This white paper explores the areas that will most likely be affected by the replacement of Libor with new benchmarks. It further proposes solutions on how to make the transition easier as well as more cost-efficient.
Blockchain in the Derivatives Market: Not to Be Dismissed
This white paper explores the evolution of the distributed ledger technology (DLT) phenomenon as well as its barriers to adoption. It further examines how blockchain can provide organisations with a solution to some of the issues facing the derivatives market.
MiFID II and Real-Time Technology Fortify Electronic Trading in OTC Markets
This white paper takes a closer look at what is becoming an ever more increasing universe of high touch transactions, such as OTC derivatives, moving on screen—and the drivers behind this trend. It further explores the role these influencers play in generating a rise in electronic trading.