Credit valuation adjustment (CVA)
Albanese, Andersen and Iabichino present a method for accounting and risk managing FVAs
A maths trick is taking on – and beating – fancy chips as banks try to boost their computing power
More Credit valuation adjustment (CVA) articles
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
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
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.