Credit valuation adjustment (CVA)
Three Japanese banks consider new CVA approach
Industry working group formed to discuss introducing accounting adjustment
XVA at the exercise boundary
Andrew Green and Chris Kenyon show how the decision to exercise an option is influenced by XVAs
Australian VM relief undermined by backloading rule
Trades entered during six-month transition period will need margin from September 1
Risk solutions house of the year: SG CIB
Risk Awards 2017: From African nations to Italian corporates, XVAs are an awkward new obstacle
Derivatives house of the year: Citi
Risk Awards 2017: Simple vision has taken rates business a long way
Market risk technology vendor of the year (specialist): CompatibL
Risk Awards 2017: XVA and reg specialist finds "perfect use case" for maths trick
Review of 2016: turn and face the strange
Post-crisis reform has caused upheaval, but gave recent years a sense of direction; in 2016, that was missing
ANZ's CVA loss flags challenge for regional banks
Many smaller dealers thought to be out of step with market practice and new capital rules
Isda touts CSA standardisation in margining countdown
But scale of challenge becomes clear in early tussles between dealers and clients
Basel considered axing standardised approach to CVA calculation
Committee discussed axing standardised and basic approaches in recent months, sources say – but ruled out both
China rates swap prices diverge on spotty CVA practices
Most local banks not passing on capital charge to clients, say traders
Blueprint for FRTB: Building a future-state business strategy
Sponsored feature: Numerix
Path-consistent wrong-way risk: a structural model approach
The author of this paper presents a general and path-consistent wrong-way risk (WWR) model that does not require simulation of credit and market variables simultaneously.
Traders blame bail-in for Deutsche CDS jump
Debt subordination behind spread widening from January; CVA desks may need to adjust hedge ratios
Regulations, sensitivities and adjoints: Using AAD for FRTB and FRTB-CVA
Sponsored feature: CompatibL
Managing the alphabet soup of XVAs
Sponsored webinar: Calypso and Quaternion
Dealers grapple with netting valuation adjustments
Some banks are expressing netting uncertainty as a fair value adjustment to CVA
Modeling joint defaults in correlation-sensitive instruments
This paper presents a simple model for joint defaults and shows how it can be applied to pricing and risk-managing instruments that are sensitive to credit correlation.
Banks fear costs from loss of AAD under simpler FRTB rules
Trading book regime may force use of more expensive and time-consuming ways of computing risk sensitivities
CVA models may miss half of true default risk
Benefits of initial margin also overstated, new research finds
Why not having AAD needn’t be the end of the world
Optimisation method offers quicker and more focused way of making XVA calculations
Banks take flexible approach to pricing netting risks
Dealers are adjusting CVA prices, depending on their view of the legal netting opinion
MVA: swaps scale new heights in complexity
Banks are turning their attention to calculating a new derivatives valuation adjustment