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.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
Benchmark reform poses challenge for valuation teams
The end of Eonia and Libor are set to make life more complicated
The transformational role of the XVA desk
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,…
Technology at the service of XVA or ‘XVA as a service’?
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
Machine learning is not just for the buy side
Sell-side quants develop machine learning technique to optimise margin costs
