Credit valuation adjustment (CVA)
Jacky Lee and Luca Capriotti present an arbitrage-free valuation method for counterparty exposure of credit derivates portfolios.
More Credit valuation adjustment (CVA) articles
Funds could be subject to CVA charge for period of weeks or months
Banks would have to check whether exemption applies each time they trade
Kenyon and Green show how certain technical elements simplify XVA management
A loans-focused business model means credit risk mitigation a low priority
Local banks have so far been reluctant to move beyond regulatory CVA requirements
Banks will have to account for CVA, but are not expected to price it into OTC deals
Quants argue banks are inflating FVA; Crédit Agricole among those weighing new approach
The RBI's use of a conservative standard CVA approach is overly prudent, say dealers
Floors framework should not overstate risk, says Sweden's bank supervision chief
Clearing test has to be met for CVA safe harbour to apply, lawyers say
Cheaper swaps are encouraging some companies to chase lower debt costs
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