Credit valuation adjustment (cva)
Dealers and pension funds still waiting for clarity on whether hedging vehicles are covered by Europe's swap clearing exemption
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
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More Credit valuation adjustment (cva) articles
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 and quantitative analysis, Kumeshen Naidoo, risk...
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 has unsettling implications for the CDS market. Laurie...
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
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.
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