New articles :

Quantos and FX Skews models We study the impact of the FX skew on quanto convexity adjustments. Using a double shifted lognormal model allows an easy calibration to the skews as well as expressing the FX skew impact analytically for quanto forwards. We conclude that under non stressed market conditions (σ^2 T≪1) the impact is negligible for short maturities and still not material for longer maturities compared to correlation risk. However, under stressed market conditions or if quanto products become liquid enough to provide market implied correlation, we would switch from a mark-to-model with uncertain correlation to a mark-to-market with implied correlation. In this situation we will need to incorporate the FX skew. In a second study, we emphasis the drawbacks of modelling FX with shifted-lognormals and as an alternative we introduce the double mixture of lognormals model as the easiest model compatible with the flat lognormal quanto adjustment formula. , J.Pantz (2011)  

CVA and Wrong Way Risk models This paper proposes a simple model for incorporating wrong-way and right-way risk into CVA (credit value adjustment) calculations. These are the calculations made by a dealer to determine the reduction in the value of its derivatives portfolio arising from the possibility of a counterparty default. The model relates the hazard rate of the counterparty to the value of the transactions outstanding between the dealer and the counterparty. Numerical results for portfolios of 25 instruments dependent on five underlying market variables are presented. The paper finds that wrong-way and right-way risk have a significant effect on the Greek letters of CVA as well as on CVA itself. It also finds that the impact of wrong-way and right-way risk depend on the collateral arrangements. , J.Hull (2011)