MVA: swaps scale new heights in complexity

Banks are turning their attention to calculating a new derivatives valuation adjustment

mva-mountain-web
Derivatives pricing experts have experienced 'false summit' syndrome with the advent of MVA

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 v

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: