“Roughly two-thirds of credit counterparty losses were due to credit valuation adjustment losses and only one-third were due to actual defaults” according to the Basel Committee on Banking Supervision, highlighting the importance of counterparty credit risk management to the derivatives...

We review the main changes in the interbank market after the financial crisis started in August 2007. In particular, we focus on the fixed income market and we analyse the most relevant empirical evidences regarding the divergence of the existing basis between interbank rates with different...

The aim of this work is to bring an econometric approach upon the CO2 market. We identify the specificities of this market, and analyze the carbon as a commodity. We investigate the econometric particularities of CO2 prices behavior and their result of the calibration. We apprehend and explain...