Debit valuation adjustment (DVA)
Market risk hedges should be recognised when calculating CVA capital charge, says HSBC market risk modelling head
More Debit valuation adjustment (DVA) articles
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.