Credit valuation adjustment (CVA)
The origins of CVA
Model foundations of the Basel III standardised CVA charge
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More Credit valuation adjustment (CVA) articles
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
Towards two-way CSAs
Comment letters from Isda and Bank of Montreal argue Basel Committee proposal on DVA deductions goes too far
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