Credit valuation adjustment (CVA)
The credit valuation adjustment (CVA) capital charge in Basel III comes in two flavours: advanced (simulations) and standardised (formula). In this article, Michael Pykhtin shows that the standardis...
The online Certificate in Quantitative Finance program provides risk professionals with quant finance tools applicable to their roles, and now offers risk management electives. Download the CQF brochure.
More Credit valuation adjustment (CVA) articles
Turning borders into barriers
Intelligent thinking for risk systems
Basel Committee addresses long-standing complaints over default fund exposures and client clearing
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
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.