Andrew Kirk

APRA

Australia

SCHOLARLY PAPERS

2

DOWNLOADS

131

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Ideas:
“  Impact on VaR of overlapping observations when the underlying price and rate processes are mean-reverting. \\What is VaR, in situations where the passing of time makes a difference other than just unwinding of discount or receipt of coupons?\\Methods of detecting significant price-vol interactions in sensitivity-based VaR so that accountcan be taken of significant interactions without degrading efficiency.  ”

Scholarly Papers (2)

1.

The Missing Term in the FVA Calculation

Number of pages: 17 Posted: 29 Oct 2018 Last Revised: 14 Feb 2019
Andrew Kirk
APRA
Downloads 101 (286,902)

Abstract:

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Banking, Market Risk, FVA, DVA, Derivative Valuation, CET1, Prudential Supervision

2.

Including Defaults on New Loans in Capital Requirements for Credit Risk

Number of pages: 20 Posted: 26 Nov 2018
Andrew Kirk
APRA
Downloads 30 (504,523)

Abstract:

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Default, Portfolio, Credit Risk, PD, Basel, Capital