Credit valuation adjustment (cva)
Basel Committee addresses long-standing complaints over default fund exposures and client clearing
This panel will discuss ways to allocate resources and minimize potential exposure with a set of analytical tools to assess, simulate and quantify operational risk capital to improve business efficiency and performance across the enterprise.
More Credit valuation adjustment (cva) articles
The origins of CVA
Model foundations of the Basel III standardised CVA charge
BoE thought to be the first major central bank to change policy on collateralisation as it seeks to reduce dealer funding charges
Two-thirds of respondents think trades with corporates should be exempt from Basel III's CVA capital charge
Despite hard-won exemptions, corporates should consider the pros and cons of clearing, according to panellists at an ACT event - but treasurers remain unconvinced
Market risk hedges should be recognised when calculating CVA capital charge, says HSBC market risk modelling head
Banks have nine months until elements of Basel III are due to come into force, but details of implementing legislation are still being debated
The latest council draft adds a CVA capital charge exemption for sovereign derivatives transactions – potentially removing one of the big unintended consequences of CRD IV, participants say
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.