Credit valuation adjustment (CVA)
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
This white paper looks at the heavy impact of regulation on investment managers, the mitigation of outsourcing risk, inefficiencies in corporate actions processing and the growing importance of collateral management.
More Credit valuation adjustment (CVA) articles
Lack of credit team or CVA desk might make use of measure counterproductive, panellists worry
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
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.