Debit valuation adjustment (DVA)
US regulators also looking into divergent valuations for uncollateralised swaps
This white paper looks at the heavy impact of regulation on investment managers, the mitigation of outsourcing risk, inefficiencies in corporate actions processing and the growing importance of collateral management.
More Debit valuation adjustment (DVA) articles
Albanese, Andersen and Iabichino present a method for accounting and risk managing FVAs
Risk Awards 2015: Barclays quants put FVA on solid ground
XVA specialists spark debate on regulation and risk-neutrality
Dealers are looking to consolidate desks that manage adjustments for credit, debit and funding valuation
In this video discussion, Duncan Wood, editor of Risk, talks to Nick Sawyer, Risk’s editor-in-chief, about attempts to price in a replacement valuation adjustment on derivatives trades
Regulatory change will force firms to alter their behaviour, and their technology platforms need to keep pace
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.