. Whilst in theory the replication takes place in one self financing portfolio, the roles in an institution is often split … replication of the derivative to maintain profit and loss neutral position with respect to the funding. The second part focuses on …

We examine the efficiency of hedging a credit derivative portfolio with a contrary position in a credit index in the … that the calculation of the capital charge for CVA risk, as required by the Basel Committee on Banking Supervision, is … enough diversification of risk in a global credit portfolio to allow for a good hedge. Over the whole sample, the reduction …

The calculation of the capital charge for CVA risk, as required by the Basel Committee on Banking Supervision, is …, the implied adjustments in capital charges could be reduced by hedging a credit derivative portfolio with a contrary … CDSs and CDS indices, and we also evaluate the level of basis risk still remaining under the hedge. We address several …

international macroeconomic risk sharing than is possible today. Retail institutions are described that might develop around such … markets and help the public with their risk management. However, the establishment of such markets would also incur the risk …