Respondents to Risk España’s survey expect to see declines in over-the-counter derivative volumes as a result of regulation and believe less than half the OTC market’s total notional value will be eligible for clearing
The crisis did not start in Asia, but Asian countries have been among the first to implement the resulting capital and liquidity regime – while the US and Europe have yet to move. The result is an unlevel playing field, says Elbert Pattijn, chief risk...
Regulatory change will force firms to alter their behaviour, and their technology platforms need to keep pace
Three quarters of survey respondents believe regulators should copy the European Union’s CVA exemptions for trades with corporates, pension funds and sovereigns
Bilateral CVA of optional early termination clauses
Bill calls for FSOC to analyse impact on US of EU exemption as corporates press for a carve-out
Counterparty risk is generally thought of at a portfolio level, but understanding how a particular payout interacts with credit and debit valuation adjustments could help banks make business decisions. Laurie Carver introduces this month’s technical...
New capital requirements are making it more difficult for banks to trade with counterparties that are not covered by a netting opinion. That is spurring attempts to expand coverage, but can leave banks and lawyers on uncertain ground. By Lukas Becker
Europe goes its own way on 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 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
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...
CDSs, CVA and DVA – a structural approach
Breaking break clauses
Hedges will attract capital instead of providing capital relief, argues Citi exec
CRD IV set to exempt trades with corporates, sovereigns and pension funds
A cross-section for CVA