Credit valuation adjustment (CVA)
Getting CVA up and running
Getting CVA up and running
In the balance
In the balance
Delayed Basel trading book review will be broad, say supervisors
Basel Committee is expected to consider wide range of topics, including VAR, liquidity, CVA and the line between banking and trading books - but overall capital requirements are not likely to change
Basel 2.5: regulators still wrestling with Dodd-Frank clash
Barriers to Basel
Corporates fear CVA charge will make hedging too expensive
Crunch time for corporates
South African banks grumble over credit pricing discrepancies
To charge, or not to charge?
Basel trading book review delayed
Fundamental review of Basel trading book rules may not begin in earnest until March 2012
Credit Risk USA: Basel trading book regime attacked by dealers
CVA charge and Basel 2.5 rules incoherent and over-complicated, say dealers
Isda to review close-out value definitions
Absence of a standard approach is stifling attempts to value termination clauses, dealers complain
Technology Innovation
Technology Innovation
CVA's cousin: Dealers try to value early termination clauses
Adjustment anxiety
CVA hedging: a false sense of security
Quo vadis, CVA?
Basel III charge could spur interest in CCDS
Development of CCDS could be pushed ahead by Basel III CVA charge, suggest market participants
Irish debt office agrees to collateralise derivatives
The NTMA follows Portugal's debt office in adopting two-way collateralisation - but unlike Portugal it appears it will have to post cash
Perverse capital
Perverse capital
Sovereign volatility puts Basel III CVA charge in spotlight
Basel III feedback loop between CDS spreads and CVA capital requirements worries dealers, following month of huge sovereign spread moves
Counterparty risk capital and CVA
Counterparty risk capital and CVA
CVA charge will hit sovereign exposures
Adjusting to change
BAML's Lipton: discrete models essential to cut CVA computation costs – Video
Top quant says a CVA model that is 80% accurate but takes 20% of the time is "very attractive"
RBS expands CVA quant team
RBS adds former Barclays Capital and Lehman quant to help build firm-wide CVA model
Dealers push for further CVA amendments under Basel III
Adjusting the adjustments
Supervisors seek to manage shadow banking risks
Chasing shadows