Credit valuation adjustment (cva)
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
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More Credit valuation adjustment (cva) articles
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
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
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