Credit valuation adjustment (cva)
Cheaper swaps prices have convinced two more DMOs to sign collateral agreements
US inflation markets have been through some major events in 2012, including the launch of open-ended quantitative easing and knock-on effects from the forced unwind of Greek asset swaps. Against a backdrop...
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...
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
The choice of a close-out convention applicable on the default of a derivatives counterparty can have a significant effect on the credit and debit valuation adjustments, as can the order of defaults. Jon Gregory and Ilya German examine this phenomenon...
The Basel Committee’s proposal to scrap VAR and the move to OIS discounting struck a chord with Risk.net readers in 2012
As banks become more sensitive to capital and funding costs – and derivatives pricing becomes more complex – the trader’s role is changing. For those who choose to remain on the sell side, analytical, problem-solving and technology skills will be...
Technology firms are trying to help their clients adapt to a world in which new regulations and low trading volumes are putting bank business models under huge pressure. How well are they doing? Clive Davidson shares the results of this year’s technology...
Spending on IT systems is still rising to meet new regulatory demands, with credit risk growing as a priority. Michael Watt reports
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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