Credit valuation adjustment (cva)
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
More Credit valuation adjustment (cva) articles
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
Basel Committee addresses long-standing complaints over default fund exposures and client clearing
The origins of CVA
Model foundations of the Basel III standardised CVA charge
BoE thought to be the first major central bank to change policy on collateralisation as it seeks to reduce dealer funding charges
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.