Thematic Series on Risk Measures, XVA Analysis, Capital Allocation and Central Counterparties

Probability, Uncertainty and Quantitative Risk welcomes submissions to the thematic series on Risk Measures, XVA Analysis, Capital Allocation and Central Counterparties.

In the aftermath of the global financial crisis, new issues were raised concerning a sound pricing and risk management of financial derivatives. On the pricing side, several new valuation adjustments (XVAs), including funding valuation adjustment (FVA), margin valuation adjustment (MVA) and capital valuation adjustment (KVA), were introduced on top of the traditional credit valuation adjustment (CVA) in order to account for the incompleteness of counterparty credit risk. On the risk side, one sees a growing concern for the systemic dimension and how to account for it in capital and its allocation among different components of a financial system. A related evolution of the infrastructure of financial markets is the generalization of centrally cleared trading and central counterparties (CCPs). All these changes pose important questions at the boundary between challenging academic questions and relevant industrial applications. To address these issues, the University of Evry, Shanghai Jiaotong University and the National University of Singapore have jointly organized two 2016 companion workshops about “risk measures, XVA analysis, capital allocation and central counterparties” (see http://cqf.nus.edu.sg/NUS_SJTU_Evry_Workshop/Overview.html and http://www.samuel-drapeau.info/workshop/). As a follow up to these workshops, "Probability, Uncertainty and Quantitative Risk" is proud to announce two 2017 peer-reviewed special issues on these topics, the first one with submission deadline January 31, 2017 and the second one with submission deadline June 30,2017. Both issues are public, meaning that contributions of non-participants to the workshops are equally welcome. These special issues will be given an important diffusion not only through the usual academic channels, but also via (e)mailing to a series of financial institutions.

Potential topics include, but are not limited to:

  • XVA (CVA, FVA, MVA, KVA),
  • Central counterparties (CCPs),
  • Capital allocation,
  • Systemic risk,
  • BSDEs,
  • Model risk

Guest editors:

Stéphane CREPEY, University of Evry

Samuel DRAPEAU, Shanghai Jiao Tong University

Chao ZHOU, National University of Singapore

Deadline for submissions: 

 The 1st issue - January 31, 2017

 The 2nd issue - June 30, 2017

Submission instructions:
Before submitting your manuscript, please ensure you have carefully read the Instructions for Authors for Probability, Uncertainty and Quantitative Risk. The complete manuscript should be submitted through Probability, Uncertainty and Quantitative Risk submission system. To ensure that you submit to the correct thematic series please select the appropriate thematic series in the drop-down menu upon submission. In addition, indicate within your cover letter that you wish your manuscript to be considered as part of the thematic series on Risk Measures, XVA Analysis, Capital Allocation and Central Counterparties. All submissions will undergo rigorous peer review and accepted articles will be published within the journal as a collection.

Submissions will also benefit from the usual advantages of open access publication:
• Rapid publication: Online submission, electronic peer review and production make the process of publishing your article simple and efficient
• High visibility and international readership in your field: Open access publication ensures high visibility and maximum exposure for your work - anyone with online access can read your article
• No space constraints: Publishing online means unlimited space for figures, extensive data and video footage
• Authors retain copyright, licensing the article under a Creative Commons license: articles can be freely redistributed and reused as long as the article is correctly attributed

For editorial enquiries please contact probability-risk@springeropen.com.
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