Debit valuation adjustment (DVA)
Burgard and Kjaer method is extended to include margin valuation adjustment
Banks will have to account for CVA, but are not expected to price it into OTC deals
Quants argue banks are inflating FVA; Crédit Agricole among those weighing new approach
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
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.