Credit valuation adjustment (cva)
Spending on IT systems is still rising to meet new regulatory demands, with credit risk growing as a priority. Michael Watt reports
Papers published in Risk this year touched on a diverse range of topics. Laurie Carver provides an overview and introduces the annual round-up of citations
Proposed rules could result in relatively vanilla forex products attracting disproportionate margin and capital requirements, says BoE FX division head
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Credit valuation adjustment (cva) articles
The European Parliament is poised to defend a CVA exemption for trades with corporate and sovereign entities, as negotiations enter the final stages
The critical importance of counterparty risk management was demonstrated by the bankruptcy of Lehman Brothers in September 2008. In response, banks and other energy market participants have been trying hard to improve their game. Gillian Carr reports...
In their previous article, Carlos Blanco and Michael Pierce introduced the concept of credit valuation adjustment (CVA). In this next instalment, they explore CVA allocation methods and discuss alternative structures using CVA to set limits, credit charges...
Regulation, accounting standards and greater demand for transparency in product pricing have led technology companies to seek new ways to provide underlying data and analytics. But is there such a thing as too much information? Vita Millers reports
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 on SSRN in 2010 and in Volume 7, Issue 3 of...
This is the first of a two-part series on credit valuation adjustment (CVA). In this piece, Carlos Blanco and Michael Pierce introduce the concept of CVA and show how to calculate CVA at the trade and portfolio levels
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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