Dawn of CVA threatens hedging woe for Japan banks

Japan’s thinly traded CDS market will make CVA hedging challenging, dealers say

Japan is home to scores of global corporate titans, but in the credit default swap market those same names appear pygmy-sized. Stunted trading volumes on single-name credit default swaps in Japan are giving three of the country’s megabanks a big problem as they prepare to start reporting the market value of counterparty risk on their derivatives portfolios.

Accounting CVA – a profit and loss item which measures how credit valuation adjustment affects the fair value of derivatives – is

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 individual account here: