Credit valuation adjustment (CVA)
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
More Credit valuation adjustment (CVA) articles
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
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
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.