Credit Valuation Adjustment (Cva)
Short-term capital surcharge mooted in addition to longer-term reform
Findings of EBA review to be discussed on December 5
This three-part series looks at the various factors that firms across the ecosystem of global FX markets - from the buy-side, the sell-side, and the supporting community of technology vendors and service providers - should consider in order to, not just survive, but to thrive in this dynamic and ever-changing environment.
More Credit Valuation Adjustment (Cva) articles
To meet new Basel III capital requirements, banks have to proxy unobserved credit default swap (CDS) time series for their over-the-counter derivative counterparties to determine the credit valuation adjustment...
Regulators and accountants don't agree on CVA but banks say smart hedges exist
XVA specialists spark debate on regulation and risk-neutrality
This paper introduces a technique for pricing and risk measurement of portfolios containing swaption contracts in the presence of counterparty credit risk, under general market model and volatility ...
Fears relationship between credit indexes and constituents becoming more tenuous
Indexes may be less effective hedges in absence of arbitrageurs
Yorkshire Water among the firms said to be considering inflation repacks
In this study the authors develop an analytical scheme that integrates a large spectrum of typical bank loans and credits, accommodates common bank loan portfolio chronological interdependencies and allows the necessary credit value adjustments (CVAs) for the unilateral default risk exposures of lending institutions both at the individual loan level and at the entire portfolio level.
Volume 10, Issue 2 of the journal presents two research papers and two technical reports. The first research paper in the issue is "Estimation of risk measures for large credit portfolios" by Johannes Hauptmann, Pablo Olivares and Rudi Zagst. The authors propose a methodology to assess risk measures for portfolio losses in the context of credit risk.
Backtesting counterparty credit risk (CCR) models is anything but simple. Such backtesting is becoming increasingly important in the financial industry since both the CCR capital charge and credit valuation...
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.