Credit valuation adjustment (cva)
Federal Reserve will not mirror European exemptions but could instead modify treatment of CVA and market risk hedges, industry sources say
The crisis did not start in Asia, but Asian countries have been among the first to implement the resulting capital and liquidity regime – while the US and Europe have yet to move. The result is an unlevel...
Regulatory change will force firms to alter their behaviour, and their technology platforms need to keep pace
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
Three quarters of survey respondents believe regulators should copy the European Union’s CVA exemptions for trades with corporates, pension funds and sovereigns
The impact on the real economy and on SMEs of regulatory reforms such as Basel III and OTC derivatives rules, says Somboon Chitphentom of the Bank of Thailand
The value of early termination clauses in derivatives depends crucially on the type of close-out value used and on the counterparty risk, and embeds optionality in even the most vanilla swap contracts. In the case of the so-called risk-free close-out,...
Firms used to be able to throw anything they liked into the hypothetical derivative that is used to test cashflow hedge accounting, but standard-setters are embracing a purer approach. It has already caused a furore over cross-currency basis spreads,...
Counterparty risk is generally thought of at a portfolio level, but understanding how a particular payout interacts with credit and debit valuation adjustments could help banks make business decisions. Laurie Carver introduces this month’s technical...
New capital requirements are making it more difficult for banks to trade with counterparties that are not covered by a netting opinion. That is spurring attempts to expand coverage, but can leave banks and lawyers on uncertain ground. By Lukas Becker...
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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