CVA desks arm themselves for the next crisis
March’s volatility forces dealers to fine-tune hedging strategies
April is said to be the cruellest month. But for one European bank’s credit valuation adjustment desk, the pain came a month earlier.
The bank had entered into a series of interest rate swaps and foreign exchange derivatives with a group of South American oil companies. The trades moved firmly in the bank’s favour after central banks cut policy rates in March, but the subsequent collapse in oil
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