Credit valuation adjustment (cva)
Banks under pressure to join JP Morgan and others that have embraced FVA - but complexity is huge and consensus elusive
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 ...
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
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 ...
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
Handicapped by tighter regulations, banks have ceded derivative market-making share to oil majors such as BP and Shell
Banks turn to lawyers for advice as CVA functions face tougher conditions than other trading desks
Operational risks, funding valuation adjustment and the money made by one dealer in the early days of OIS discounting – the top stories of the year on Risk.net
Asifma head Austen wants exclusion of initial margin from Asian jurisdictions’ derivatives market regulation
Canadian regulator wants its banks to compete on same terms as US rivals
Credit factor models tend to obscure the economics in favour of tractability – and this puts them at odds with rigorous arbitrage-free martingale pricing methods. To resolve this, quants are looki...
Critics of Basel III’s credit valuation adjustment (CVA) capital charge have long warned it would produce perverse incentives. Now, in the form of a string of quarterly losses in Deutsche Bank’s...
Big loss was accompanied by even bigger capital saving, traders point out. Other banks now working out their own policy on controversial capital charge
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.