Debit valuation adjustment (dva)
The economic value of derivatives is influenced by funding costs, because the costs imply windfalls or shortfalls to bondholders on a bank’s default. But the resulting adjustments depend not just on...
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 Debit valuation adjustment (dva) articles
Dealers are looking to consolidate desks that manage adjustments for credit, debit and funding valuation
Disparate – but intimately related – adjustments to derivatives prices are being put under one umbrella by some dealers, uniting counterparty risk, funding, collateral and capital management in one super-desk. That frightens some treasurers, who see...
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
The risk of exposure and counterparty default probability both increasing – so-called wrong-way risk – is usually understood in terms of the correlation between the two variables. But this approach is focused more on the centre of the distribution,...
Regulatory change will force firms to alter their behaviour, and their technology platforms need to keep pace
Dealers broadly agree that funding costs and benefits should be priced into uncollateralised trades, and some banks have started recognising this in their financial statements. But there is no standard practice, and there are fears of double-counting....
This month's cover story illustration uses Dr Frankenstein’s monster as a visual metaphor for dealers’ attempts to apply fair-value accounting to funding valuation adjustment (FVA). In part, that’s because the results, so far, are ugly – the numbers...
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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