Debit valuation adjustment (DVA)
More Debit valuation adjustment (DVA) articles
The Basel Committee’s proposal to scrap VAR and the move to OIS discounting struck a chord with Risk.net readers in 2012
From stochastic volatility to shameful scams
The FVA debate continues
King's College professor of finance Damiano Brigo says regulators should clamp down on dealers looking to hedge debit value adjustment gains by selling CDS protection on closely correlated names
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.