Index
accounting standards
accrued interest
actual recovery
actuarial approach, hedging CVA
actuarial price, CVA
additional termination events (ATEs)
add-ons
adverse selection, CCPs
AIG see American International Group Inc.
alpha
AMBAC Insurance Corporation
Amdahl's law
American International Group Inc. (AIG)
CCPs and
credit ratings
failure of
historical aspects
American Monte Carlo methods
see also Monte Carlo methods
annuity risk
arbitrage
asset classes
asset correlation
Basel III
exposure
multiplier
regulatory capital formula
asset liquidity risk
asymmetric collateral agreements
asymmetric funding
ATEs see additional termination events
auction process, CCPs
auction settlement, CDSs
backtesting
Bankhaus Herstatt
see also Herstatt risk
banking book approach
bankruptcy
Basel Committee on Banking Supervision (BCBS)
Basel I (Basel Capital Accord)
Basel II
asset correlation
background
CEM
collateral
credit risk
double default
exposure
haircuts
IMM
MA factor
repo-style transactions
SM
three pillars
Basel III
asset correlation multiplier
backtesting
CCPs
collateral
counterparty risk
CVA capital charge
CVA regulation
CVA VAR
index CCDSs
margin period of risk
outstanding EAD
rating triggers
regulatory requirements
specific wrong-way risk
stressed EPE
stress testing
BCBS see Basel Committee on Banking Supervision
BCVA see bilateral CVA
Big Bang Protocol
bilateral break clauses
bilateral CVA (BCVA)
default correlation
DVA
examples
funding and valuation
hedging CVA
pricing agreement
