Credit valuation adjustment (CVA)
MVA: swaps scale new heights in complexity
Banks are turning their attention to calculating a new derivatives valuation adjustment
Lloyds' CVA head exits for JP Morgan
Julian Keenan leads Asia credit portfolio trading at the US bank
Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
In the paper, real-world and risk-neutral scenarios are combined for the valuation of the exposure values of Bermudan swaptions on real-world Monte Carlo paths.
CVA desks suffer Brexit double whammy
Cross-gamma losses estimated at more than $25m for each dealer
Futureproofing risk management
Sponsored Q&A: Numerix
Structured products: The new value chain
Sponsored Q&A: Murex
A bond consistent derivative fair value
This paper presents a rigorously motivated pricing equation for derivatives.
Basel Committee’s CVA shocker ignores trade-offs
Ditching own models for CVA risk is too binary and eliminates possibility of further dialogue
Dealers disagree over charge for CCP counterparty risk
Fed stress tests push US banks towards charging CVA for cleared derivatives
Enria: new legislation can help bolster AT1 market
The EBA is also reconsidering its advice to the European Commission on the treatment of CVA risk
Basel CVA bombshell widens gulf with bank accounting
Dealers face conflicting incentives and capital hike after internal models are blown away
Regional banks may benefit from Basel CVA surprise
Basel Committee decision removes potential source of competitive advantage for large dealers
Expected shortfall and VAR: cracking the marginal allocations
A new method to estimate marginal VAR and marginal ES is presented
Capital and funding
Quants propose KVA and FVA accounting framework based on Solvency II regulation
XVAs: a gap between theory and practice
Hull and White see splits on FVA, MVA, KVA as irreconcilable
MUFG head criticises internal modelling restrictions
Isda AGM: Mitsubishi UFJ Group CEO also sounds warning on sovereign risk weights and CVA
Crying wolf on CVA?
Standardised approach will hit corporates – but it's not clear that capital will jump
Basel plans modelling curb for billions in credit RWAs
Proposals clamp down on IRB approach that is “usually gamed pretty easily”, says FDIC’s Hoenig
Liability-side pricing of swaps
Wujiang Lou presents a framework to compute recursive CVA and FVA via Monte Carlo simulation
European dealers wrestle with corporate CVA changes
Banks say prices already diverging; CDS market could be impacted
Traders shocked by $712m CVA loss at StanChart
Bank’s new methodology has been used by some rivals for more than a decade
Some European banks pricing in Pillar 2 CVA charge
But three dealers say it is too early to know whether corporate CVA exemption will be removed
From FVA to KVA: including cost of capital in derivatives pricing
Youssef Elouerkhaoui presents a general derivatives pricing framework including cost of capital
Banks launch drive to crush outsized XVAs
Novations and profit-sharing form part of push to trim derivatives valuation adjustments