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 standardised CVA charge formula can be obtained by adding several...
Cloud on the horizon?
Turning borders into barriers
Weight loss: preparing for a low-RWA future
Making technology cheaper
Intelligent thinking for risk systems
The FVA debate
Basel Committee addresses long-standing complaints over default fund exposures and client clearing
Banks looking to mitigate the new Basel III CVA capital charge – and using corporate deposits as collateral on derivatives is one option, says banker
Dealers face pricing headache as they wait to see whether Europe's version of Basel III will exempt corporate customers from the CVA capital charge
The origins of CVA
Cutting CVA's complexity
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
Deutsche on top
Banks are offering to replicate the economics of OTC swaps in loan format - avoiding new capital and clearing rules
Two-thirds of respondents think trades with corporates should be exempt from Basel III's CVA capital charge
A turning tide for two-way CSAs?
Wrong-way CVA done right
Despite hard-won exemptions, corporates should consider the pros and cons of clearing, according to panellists at an ACT event - but treasurers remain unconvinced
Cutting CVA corners