Debit valuation adjustment (dva)
John Hull has been writing about over-the-counter derivatives for almost 30 years – often with Alan White, a fellow finance professor at the University of Toronto – but he says nothing has generated...
More Debit valuation adjustment (dva) articles
Derivatives pricing practices have been overhauled in recent years, with banks becoming more conscious about funding costs. But should dealers take funding valuation adjustment into account when valuing derivatives and making trading decisions? John Hull...
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
Debit value adjustments are considered accounting voodoo by many – but Goldman Sachs thinks the numbers are real enough to control with a hedging programme. Other banks may follow suit, at least for their derivatives liabilities, but it remains a controversial...
Accountants want banks to report as profits the impact of widening credit spreads on their liabilities, but regulators are moving in the other direction. The result could be painful deductions from capital, and two very different sets of incentives
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
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.
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