MVA: swaps scale new heights in complexity

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

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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a 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 individual account here