We examine the efficiency of hedging a credit derivative portfolio with a contrary position in a credit index in the … volatility are high. Increases in VIX, in the 10-year swap rate or in liquidity risk tend to decrease hedging efficiency … that 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 …The calculation of the capital charge for CVA risk, as required by the Basel Committee on Banking Supervision, is … CDSs and CDS indices, and we also evaluate the level of basis risk still remaining under the hedge. We address several …

comparable to that of returns in stock markets. Evidence is shown that there may be only minimal possibility of cross hedging … examined. Such markets, by allowing hedging of these aggregate income risks, might make for dramatically more effective … international macroeconomic risk sharing than is possible today. Retail institutions are described that might develop around such …

. 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 …