Regulators and accountants don't agree on CVA but banks say smart hedges exist
A copula-based model for wrong way risk
XVA specialists spark debate on regulation and risk-neutrality
This paper introduces a technique for pricing and risk measurement of portfolios containing swaption contracts in the presence of counterparty credit risk, under general market model and volatility assumptions.
Fears relationship between credit indexes and constituents becoming more tenuous
No obvious benefit to posting collateral, says company's treasurer
Indexes may be less effective hedges in absence of arbitrageurs
A new product could smoothe the gap between capital and accounting rules
Yorkshire Water among the firms said to be considering inflation repacks
In this study the authors develop an analytical scheme that integrates a large spectrum of typical bank loans and credits, accommodates common bank loan portfolio chronological interdependencies and allows the necessary credit value adjustments (CVAs) for the unilateral default risk exposures of lending institutions both at the individual loan level and at the entire portfolio level.
Sponsored survey analysis: SunGard
End-user exemptions could prove Pyrrhic victory, says treasury head
Banks under pressure to join JP Morgan and others that have embraced FVA - but complexity is huge and consensus elusive
Power giant Eskom and South African Airways want to cut hedging costs
After five years of work, a group of 19 big banks still get a failing grade from supervisors on their ability to pull together and report counterparty exposures. Is it all a question of cost? Fiona Maxwell reports
Dealers found a way to protect some cross-currency swaps from heavy new capital requirements last year, by adding foreign exchange options into the structure – but the powers of the technique are limited. Matt Cameron reports
Credit risk factor models tend to have a narrow focus on the Gaussian case, use copula functions that don’t work well with the martingale methods used in pricing, and can introduce arbitrage. Dariusz Gatarek and Juliusz Jablecki show how an increasing...
Capital and funding efficiency is a new discipline for derivatives desks, and there is a shortage of comprehensive systems - so Lloyds Banking Group teamed up with Markit to build one
Vague Volcker bemuses
Handicapped by tighter regulations, banks have ceded derivative market-making share to oil majors such as BP and Shell
Banks turn to lawyers for advice as CVA functions face tougher conditions than other trading desks