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UnRisk: Exposure Skewness
Andreas Binder & Michael Aichinger

Swap 4175 between the City of Linz and BAWAG P.S.K. Is currently the subject of a trial at Vienna's commercial court. This article examines how a single instrument CVA calculation for Swap 4175 could be carried out. In such a CVA calculation, market risk and counterparty risk are coupled.

CQF Turns Eleven
Wilmott Magazine

As the Certificate in Quantitative Finance marks its 11th year we take a look at the history of a program that has built a reputation on delivering far beyond expectations.

The Valuation of Callable Bonds with Floored CMS-spread Coupons: Wilmott Magazine Article
David Skovmand and Peter LÝchte JÝrgensen 738 Views

A new type of structured bond has recently been introduced with enormous success, primarily among private investors, in many countries in Europe. The bonds are medium term and with fixed and very high initial coupons. The remaining coupons are determined as a constant multiplier times the spread between a long and a short swap interest rate. These coupons are floored at or near zero, and the bond investment can thus be seen as a bet on the steepening of future term structure curves. However, if the term structure becomes too steep, the bonds may be called by the issuer. The paper studies the pricing and the optimal call strategy of these highly exotic bonds in a stochastic interest rate framework.

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