Credit valuation adjustment (CVA)
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 appro...
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...
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
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