Credit valuation adjustment (cva)
European legislators have opted to exempt certain derivatives trades from the CVA capital charge under Basel III. But this decision puts Europe at odds with other countries that have implemented the Basel...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
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 falls below the trigger level. Since credit default...
In this issue of The Journal of Credit Risk we present three full-length research papers and one technical report. The issue's first paper, "Debt structure, market value of firm and recovery rate", is by Min Qi and Xinlei Zhao. In this paper the authors...
As computational demands on banks have increased, some have turned to powerful graphics processing units, but these were initially applied at the transaction pricing level. Now, they are starting to cover portfolio valuations and other enterprise-level...
Counterparty risk is difficult to include systematically in credit default swap pricing. Reviving Merton’s structural approach – and generalising to higher dimensions – makes it tractable. By Alex Lipton and Ioana Savescu
The value of early termination clauses in derivatives depends crucially on the type of close-out value used and on the counterparty risk, and embeds optionality in even the most vanilla swap contracts. In the case of the so-called risk-free close-out,...
Hedges will attract capital instead of providing capital relief, argues Citi exec
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
USA, 9th Dec 2013
USA, 10th Dec 2013
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