Credit valuation adjustment (CVA)
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...
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More Credit valuation adjustment (CVA) articles
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
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...
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