Credit valuation adjustment (cva)
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
This webinar looks at the current state of enterprise stress testing and unveils findings of a new study on Enterprise-level Stress Testing (one of several research papers in Chartis' The Risk Enabled Enterprise ® research program)
More Credit valuation adjustment (cva) articles
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
Banks tout 'tremendous' capital savings as Bank of America, Barclays, Citi and other swap dealers start using illiquid assets as initial margin
Lack of credit team or CVA desk might make use of measure counterproductive, panellists worry
Pricing the CVA doom loop
New research sheds light on implications of product's role as regulatory capital hedge
Dealers are looking to consolidate desks that manage adjustments for credit, debit and funding valuation
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.