Credit valuation adjustment (cva)
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...
The Basel Committee’s proposal to scrap VAR and the move to OIS discounting struck a chord with Risk.net readers in 2012
More Credit valuation adjustment (cva) articles
Traders of the lost art
Expense makes sense
From stochastic volatility to shameful scams
Proposed rules could result in relatively vanilla forex products attracting disproportionate margin and capital requirements, says BoE FX division head
The European Parliament is poised to defend a CVA exemption for trades with corporate and sovereign entities, as negotiations enter the final stages
This addendum corrects an error in the notation of earlier versions of our paper "Partial differential equation representations of derivatives with bilateral counterparty risk and funding costs" that appeared...
Calculating CVA at trade and portfolio levels
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.