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Are Japanese Firms Ready to Meet the April 2021 CVA Deadline?
Beginning in April 2021, Japanese financial institutions will be required to calculate and subsequently report credit valuation adjustments (CVA) and debit valuation adjustments (DVA) under new Accounting Standards Board of Japan (ASBJ) guidelines. While CVA reporting has been in place for many years for international banks, many smaller regional Japanese banks are only now being asked to meet the
Architecture Series, Part 2: Which Language?
This series addresses issues specific to domain of financial derivative valuation and risk measurement. However, before leaping into the domain itself, I'd like to cover some considerations of tools, process and architecture which are more general, applying to software systems in this and other domains. Programming Paradigm The overwhelming winner in this category is object-oriented programming
November 21, 2012
Architecture Series, Part 1: Architecture Matters
Risk magazine recently ran an interesting article. To extract a few choice phrases: Before, analysts could be abstract, and mathematical ability was prized; now they have to be pragmatic, and computer programming is the essential attribute the marginal impact on the capital position of any proposed trade needs to be known in advance, which means a complete recalculation at portfolio level and a
November 7, 2012