Credit valuation adjustment (cva)
CRD IV set to exempt trades with corporates, sovereigns and pension funds
The European Banking Authority has proposed a way for banks to calculate a credit valuation adjustment capital charge when credit default swap spreads are absent or illiquid – but it does not solve the...
Harnessing credit and debit valuation adjustments to credit default swaps may have seemed a good idea a few years ago, but as that market shrinks, it is eroding their foundations. Laurie Carver reports...
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
Sometime in mid-2006, the outstanding notional of the single-name credit default swap (CDS) market passed the $15 trillion mark, according to the Bank for International Settlements (BIS). It was on a steep upward trajectory that reached a $33.4 trillion...
Traditional models for wrong-way risk focus on the correlation between default and exposure – a blunt tool for a tail risk. Alternatives are thin on the ground, but a scenario-based approach may provide some fresh insight. Laurie Carver introduces this...
The risk of exposure and counterparty default probability both increasing – so-called wrong-way risk – is usually understood in terms of the correlation between the two variables. But this approach is focused more on the centre of the distribution,...
Deal is said to pay a coupon of 11% for first-loss protection – which some investors say is too low
UBS is shutting down large chunks of its fixed-income business – the first dealer to announce such a dramatic step – but some of its now-unwanted trades could be difficult to exit. Risk looks at the challenges involved in unwinding a capital- and...
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
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