
Wrong-way risk, credit and funding
Wrong-way risk, credit and funding
The financial crisis that followed the collapse of Lehman Brothers in 2008 ushered in a greater focus on counterparty credit risk, and brought terms such as credit, and more controversially debit and funding, valuation adjustments (CVA, DVA and FVA) into the mainstream. These attempt to price the expected mark-to-market (MtM) losses or gains from either party’s default, and the costs of funding the positions. The most dangerous manifestation of counterparty risk comes when the default
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
Regulation
What lies beneath: Nomura’s iceberg balance sheet
Collateral received by the Japanese bank exceeds its total on-balance-sheet assets – does it matter?
Receive this by email