Credit valuation adjustment (cva)
Bill calls for FSOC to analyse impact on US of EU exemption as corporates press for a carve-out
In this paper (in English and German), Genscape has analysed Combined Heat and Power or Central Heat and Power (CHP)production in the German market, the challenges it raises for market participants, and the key steps required to address the fundamental lack of transparency in CHP plant production.
More Credit valuation adjustment (cva) articles
European legislators have opted to exempt certain derivatives trades from the CVA capital charge under Basel III. But this decision puts Europe at odds with other countries that have implemented the Basel framework in its entirety. Tom Newton reports...
With European authorities poised to grant a Basel III CVA capital charge exemption to corporates, pension funds and global sovereigns, banks in the region most notably Australia are questioning why there isn't a similar exemption for them?
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 focuses more on the centre of the distribution. This...
The move by European authorities to exempt European banks from holding CVA capital should be matched by regulators in Asia, according to senior bankers in the region
The credit additional termination event (ATE) clause is a counterparty risk mitigant that allows banks to terminate and close out bilateral derivative contracts if the credit rating of the counterparty falls below the trigger level. Since credit default...
In this issue of The Journal of Credit Risk we present three full-length research papers and one technical report. The issue's first paper, "Debt structure, market value of firm and recovery rate", is by Min Qi and Xinlei Zhao. In this paper the authors...
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 cover portfolio valuations and other enterprise-level...
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.
Hong Kong, 1st - 31st Dec 2014
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USA, 8th - 9th May 2014