Credit valuation adjustment (CVA)
Risk Awards 2015: Barclays quants put FVA on solid ground
EBRD says impact would be minimal, but experts warn other swaps users would be hit
Short-term capital surcharge mooted in addition to longer-term reform
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More Credit valuation adjustment (CVA) articles
Findings of EBA review to be discussed on December 5
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.
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