Credit valuation adjustment (CVA)
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...
More Credit valuation adjustment (CVA) articles
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...
Deal is said to pay a coupon of 11% for first-loss protection – which some investors say is too low
The stress of unwinding
Cheaper swaps prices have convinced two more DMOs to sign collateral agreements
Sponsored forum: US inflation derivatives
Mathematical models have always had their detractors, who view them as black boxes and their creators as blinkered eggheads, but this suspicion is now shaping new bank capital rules – with regulators...
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.