Credit valuation adjustment (cva)
Bilateral CVA of optional early termination clauses
This panel will discuss ways to allocate resources and minimize potential exposure with a set of analytical tools to assess, simulate and quantify operational risk capital to improve business efficiency and performance across the enterprise.
More Credit valuation adjustment (cva) articles
The move by European authorities to exempt European banks from holding CVA capital should be matched by regulators in Asia, according to senior bankers in the region
The credit additional termination event (ATE) clause is a counterparty risk mitigant that allows banks to terminate and close out bilateral derivative contracts if the credit rating of the counterparty...
Hedges will attract capital instead of providing capital relief, argues Citi exec
A cross-section for CVA
Traditional models for wrong-way risk focus on the correlation between default and exposure – a blunt tool for a tail risk. Alternatives are thin on the ground, but a scenario-based approach may p...
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.