Credit valuation adjustment (cva)
In recent years, derivatives pricing has become increasingly complex, assuming a far greater significance than it had previously. In this sponsored statement, Wayne Dennehy, co-head markets structuring...
Lack of credit team or CVA desk might make use of measure counterproductive, panellists worry
The credit valuation adjustment charge in Basel III allows capital relief for credit default swap (CDS) hedges. But once a product has a new use, it creates new demand – and prices must change. That...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Credit valuation adjustment (cva) articles
New research sheds light on implications of product's role as regulatory capital hedge
With Basel III expected to provide an incentive for further integration of data management and analytics into an enterprise-wide risk management platform, in this sponsored feature Moody’s Analytics discusses the key challenges institutions face when...
Dealers do not often ask regulators to intervene in the derivatives markets, but faced with an insoluble pricing headache, and no way to defend themselves, they’re seeking help. And some clients are now asking whether the market has simply become too...
Dealers are looking to consolidate desks that manage adjustments for credit, debit and funding valuation
Disparate – but intimately related – adjustments to derivatives prices are being put under one umbrella by some dealers, uniting counterparty risk, funding, collateral and capital management in one super-desk. That frightens some treasurers, who see...
In this video discussion, Duncan Wood, editor of Risk, talks to Nick Sawyer, Risk’s editor-in-chief, about attempts to price in a replacement valuation adjustment on derivatives trades
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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