Debit valuation adjustment (dva)
The Basel Committee’s proposal to scrap VAR and the move to OIS discounting struck a chord with Risk.net readers in 2012
This panel will discuss ways to allocate resources and minimize potential exposure with a set of analytical tools to assess, simulate and quantify operational risk capital to improve business efficiency and performance across the enterprise.
More Debit valuation adjustment (dva) articles
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
Market risk hedges should be recognised when calculating CVA capital charge, says HSBC market risk modelling head
Comment letters from Isda and Bank of Montreal argue Basel Committee proposal on DVA deductions goes too far
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.