Credit valuation adjustment (cva)
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...
More Credit valuation adjustment (cva) articles
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 adjustment (CVA) management have become even...
JP Morgan’s decision to accept a $1.5 billion FVA charge when revaluing its book has put pressure on other banks to follow, but there is no consensus on even fundamental issues, such as which funding spread to use – let alone the mind-melting complexity...
After five years of work, a group of 19 big banks still get a failing grade from supervisors on their ability to pull together and report counterparty exposures. Is it all a question of cost? Fiona Maxwell reports
Dealers found a way to protect some cross-currency swaps from heavy new capital requirements last year, by adding foreign exchange options into the structure – but the powers of the technique are limited. Matt Cameron reports
Credit risk factor models tend to have a narrow focus on the Gaussian case, use copula functions that don’t work well with the martingale methods used in pricing, and can introduce arbitrage. Dariusz Gatarek and Juliusz Jablecki show how an increasing...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
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