Debit valuation adjustment (DVA)
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
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
Billions of dollars in capital could be excluded under Basel proposals on derivatives DVA - with US banks hardest hit
Credit and credibility
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.