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Transparency principle for carbon emissions drives sustainable finance
Here we go further and propose a Carbon Equivalence Principle: all financial products shall contain a description of the equivalent carbon flows from greenhouse gases that the products enable, as well as their existing description in terms of cash flows.
Sustainability Manifesto for Financial Products: Carbon Equivalence Principle
Hence we propose the Carbon Equivalence Principle (CEP) for financial products: that the carbon effect of a financial product shall be included as a linked term sheet compatible with existing bank systems.
Climate Change Valuation Adjustment (CCVA) using parameterized climate change impacts
We introduce Climate Change Valuation Adjustment (CCVA) to capture climate change impacts on CVA+FVA that are currently invisible assuming typical market practice.
Client engineering of XVA in crisis and normality: Restructuring, Mandatory Breaks and Resets
In our numerical examples Resets can be twice as effective as Mandatory Break/Restructuring if there is no credit recovery.
Model independent WWR for regulatory CVA and for accounting CVA and FVA
Using a regulatory inspired calibration from MAR50 we investigate WWR effects for vanilla interest rate swaps and show that the WWR effects for FVA are significantly more material than for CVA.
Revising SA-CCR
From SA-CCR to RSA-CCR: making SA-CCR self-consistent and appropriately risk-sensitive by cashflow decomposition in a 3-Factor Gaussian Market Model
Option-Based Pricing of Wrong Way Risk for CVA
We say "start from" because we demonstrate that a naive worst-case approach contains hidden unrealistic assumptions on the variance of the hazard rate (i. e. that it is infinite).
