Credit valuation adjustment (cva)
Market risk hedges should be recognised when calculating CVA capital charge, says HSBC market risk modelling head
This three-part series looks at the various factors that firms across the ecosystem of global FX markets - from the buy-side, the sell-side, and the supporting community of technology vendors and service providers - should consider in order to, not just survive, but to thrive in this dynamic and ever-changing environment.
More Credit valuation adjustment (cva) articles
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
The costs of transacting swaps with one-way CSAs mean more debt offices could join Hungary, Ireland, Portugal and Sweden
Patchwork of risk measures - including standalone CVA charge - may be left intact
Billions of dollars in capital could be excluded under Basel proposals on derivatives DVA - with US banks hardest hit
Dealers will have to change the way they approach long-dated derivatives business, says Barclays Capital’s Jerry del Missier
European capital rules could squash CVA feedback loop
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.