Credit Valuation Adjustment (Cva)
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
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
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 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
EBA surprises industry with eleventh-hour guidance that spread simulations – not just initial levels – should account for rating, region and sector
Europe’s credit valuation adjustment exemption was the outcome of a protracted legislative debate, but it may prove to be the end of a chapter, rather than the end of the story. As US banks protes...
Risk-weighted assets at Royal Bank of Scotland would have been £36 billion lower if exemption agreed earlier this year had been recognised
Supervisors ‘should accept the legislation that the council and the parliament in their wisdom have decided upon’, warns MEP
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.