Credit valuation adjustment (cva)
Credit valuation adjustment for energy and commodity derivatives: part two
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...
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
Calculating CVA at trade and portfolio levels
Dealers expect new rules to hit the profitability of their business, but fewer expect to be able to pass the costs along – and more are anticipating a big drop in OTC trading volumes
The credit valuation adjustment (CVA) capital charge in Basel III comes in two flavours: advanced (simulations) and standardised (formula). In this article, Michael Pykhtin shows that the standardis...
Turning borders into barriers
Intelligent thinking for risk systems
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.