Credit valuation adjustment (CVA)
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...
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More Credit valuation adjustment (CVA) articles
Hedges will attract capital instead of providing capital relief, argues Citi exec
A cross-section for CVA
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 p...
Deal is said to pay a coupon of 11% for first-loss protection – which some investors say is too low
The stress of unwinding
Cheaper swaps prices have convinced two more DMOs to sign collateral agreements
Sponsored forum: US inflation derivatives
Mathematical models have always had their detractors, who view them as black boxes and their creators as blinkered eggheads, but this suspicion is now shaping new bank capital rules – with regulators...
The Basel Committee’s proposal to scrap VAR and the move to OIS discounting struck a chord with Risk.net readers in 2012
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