Credit valuation adjustment (CVA)
Fears relationship between credit indexes and constituents becoming more tenuous
Indexes may be less effective hedges in absence of arbitrageurs
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More Credit valuation adjustment (CVA) articles
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.
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...
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 ...
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
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