Credit valuation adjustment (cva)
Increasing costs could force some end-users to abandon hedging, hurting swap market liquidity and forcing other firms to follow suit
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...
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More Credit valuation adjustment (cva) articles
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...
Capital and funding efficiency is a new discipline for derivatives desks, and there is a shortage of comprehensive systems - so Lloyds Banking Group teamed up with Markit to build one
From its treatment of portfolio hedges to correlation tests and inventory limits, the Volcker rule lacks detail on key elements, lawyers say. That is an attempt to give the industry – and supervisors – some flexibility, but it could make compliance...
Handicapped by tighter regulations, banks have ceded derivative market-making share to oil majors such as BP and Shell
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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