XVA Special report 2018
After a turbulent decade, the past couple of years have arguably been a little easier for the derivatives valuation community. Overnight indexed swap (OIS) discounting is market standard for cash collateralised instruments, while funding and capital valuation adjustments are no longer a matter of debate. Margin valuation adjustment could be on the horizon, but the Street is largely in ‘wait‑and‑see’ mode.
However, benchmark reform is a potential fly in the ointment. For euro swaps collateralised with cash, the rate used for discounting future cashflows – Eonia – will be banned for use in new trades from 2020, as it will not comply with the European Union’s benchmarks regulation.
The end of Eonia and Libor are set to make life more complicated
Sponsored Q&A: ICA, Murex, NEX TriOptima, Numerix
Regulatory changes that are increasingly complicating valuation methodologies are having a transformational effect on the derivatives industry. Satyam Kancharla, chief strategy officer and senior vice‑president of the Client Solutions Group at Numerix,…
Stéphane Rio, founder and chief executive officer of ICA, explains how new technologies can radically change approaches to XVA and other pricing and risk calculations when big data experts and quants work hand in hand
US bank push, rate movements and evolving market practice driving spreads to “suicidal” levels
Seven banks would incur 200bp-plus hit to capital if long-standing waivers were repealed, says EBA
Fundamental questions on CVA remain unanswered, writes mathematical finance head
‘No other way’ to meet demands of FRTB, XVA and other changes, claim proponents
Sell-side quants develop machine learning technique to optimise margin costs