Credit valuation adjustment (CVA)
Deal is said to pay a coupon of 11% for first-loss protection – which some investors say is too low
The stress of unwinding
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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
Traders of the lost art
Expense makes sense
From stochastic volatility to shameful scams
Proposed rules could result in relatively vanilla forex products attracting disproportionate margin and capital requirements, says BoE FX division head
The European Parliament is poised to defend a CVA exemption for trades with corporate and sovereign entities, as negotiations enter the final stages
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