Credit valuation adjustment (CVA)
This addendum corrects an error in the notation of earlier versions of our paper "Partial differential equation representations of derivatives with bilateral counterparty risk and funding costs" that appeared...
Calculating CVA at trade and portfolio levels
More Credit valuation adjustment (CVA) articles
Dealers expect new rules to hit the profitability of their business, but fewer expect to be able to pass the costs along – and more are anticipating a big drop in OTC trading volumes
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...
Turning borders into barriers
Intelligent thinking for risk systems
Basel Committee addresses long-standing complaints over default fund exposures and client clearing
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.