XVA models for the calculation of CVA, FVA (see for example (Burgard and Kjaer 2013)), KVA(Green, Kenyon, and Dennis 2014), MVA (Green and Kenyon 2014) and TVA (Kenyon and Green 2014a) have frequently been formulated at the counterparty level. However, it is clear that some elements of the...

Credit risk may be warehoused by choice, or because of limited hedging possibilities. Credit risk warehousing increases capital requirements and leaves open risk. Open risk must be priced in the physical measure, rather than the risk neutral measure, and implies profits and losses. Furthermore...

Regulations impose idiosyncratic capital and funding costs for holding derivatives. Capital requirements are costly because derivatives desks are risky businesses; funding is costly in part because regulations increase the minimum funding tenor. Idiosyncratic costs mean no single measure makes...

Regulators set capital levels to ensure that banks are "sufficiently resilient to withstand losses in times of stress''. Climate change is caused by greenhouse gas emissions, and governments have introduced over seventy carbon pricing instruments (CPIs). Banks finance a significant fraction of...

I explore an unintended consequence of the recent Indian bankruptcy reform, the Insolvency and Bankruptcy Code, 2016 (IBC), on the sticky cost behaviour of firms. I find that while there exists stickiness among Indian firms, in general (i.e., costs increase by approximately 0.36% per 1% increase...

The study examines the economic consequences of regulated disclosure in the banking sector, focusing on its impacts on the stability of banking systems. In a cross-country study of banking systems across 49 countries in the 90s, I find that banking crises are less likely in countries with...

Relative to quantitative methods traditionally used in accounting and finance, textual analysis is substantially less precise. Thus, understanding the art is of equal importance to understanding the science. In this survey we describe the nuances of the method and, as users of textual analysis,...

Using a sample of 188 European listed banks covering 2004 to 2016, we conduct textual analysis on banks' Pillar 3 reports and annual reports to showcase how banks formulate their regulatory reports. We first develop dictionaries relying on machine learning tools and its subfield of textual...

The notion of a global currency is a debate set aside in the past decade as the abstraction saw little potential for realization in a world with heterogeneous governments unwilling to sacrifice seigniorage for optimal design. The technical capability of creating digital currencies, independent...

Relative to quantitative methods traditionally used in accounting and finance, textual analysis is substantially less precise. Thus, understanding the art is of equal importance to understanding the science. In this survey we describe the nuances of the method and, as users of textual analysis,...