
Confusion over CVA

Corporate treasurers suspect their bankers are taking advantage of the crisis to jack up their derivatives prices. Dealers complain their competitors are undercutting them to win business. In the weird world of post-crisis derivatives pricing, both camps may well be right.
The source of this uncertainty is credit value adjustment (CVA) – a component of the price that is intended to cover counterparty risk in a derivatives trade. Prior to mid-2007, CVA was either ignored by dealers or was such a
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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Credit risk
Derivatives
Repo-linked renminbi floaters fail to excite investors
Muted demand dents China’s hope for repo fixing to become debt market’s benchmark of choice
Receive this by email