Credit valuation adjustment (cva)
The choice of a close-out convention applicable on the default of a derivatives counterparty can have a significant effect on the credit and debit valuation adjustments, as can the order of defaults. Jon...
The Basel Committee’s proposal to scrap VAR and the move to OIS discounting struck a chord with Risk.net readers in 2012
More Credit valuation adjustment (cva) articles
As banks become more sensitive to capital and funding costs – and derivatives pricing becomes more complex – the trader’s role is changing. For those who choose to remain on the sell side, analytical, problem-solving and technology skills will be...
Technology firms are trying to help their clients adapt to a world in which new regulations and low trading volumes are putting bank business models under huge pressure. How well are they doing? Clive Davidson shares the results of this year’s technology...
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
The European Parliament is poised to defend a CVA exemption for trades with corporate and sovereign entities, as negotiations enter the final stages
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
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