In mountaineering terminology, a false summit is what appears to be the pinnacle of the mountain; upon reaching it, the real summit turns out to be lost in the clouds.
Derivatives pricing experts know the feeling well. Having scaled the bafflingly sheer faces presented by other swaps pricing add-ons, they are now staring up at arguably the most challenging of them all – margin valuation adjustment (MVA).
"MVA is the new guy everyone is worried about," says Jerome De Vasconcelos, head of credit
- Asia moves: BlackRock picks new Asia head, Credit Suisse boosts regional solutions, and more
- Bank risk manager of the year: UBS
- We need a different approach to supervisory stress-testing
- People moves: Asia hires at Credit Suisse, new UBS data role, NatWest takes UBS's Duclos, and more
- Risk solutions house of the year: HSBC