Valuation adjustments (XVAs)
WHAT IS THIS? The XVAs are a family of adjustments that can be made to the price of a derivatives trade, reflecting counterparty risk (CVA), own-default risk (DVA), funding (FVA), capital (KVA) and margin (MVA). Their theoretical roots and practical implementation are still debated, but pragmatism also matters: banks that ignore XVAs are at risk of mispricing a trade; banks that include them are at risk of never winning a trade.
Europe expects FRTB to bite on XVA hedges
Risk Benchmarking: One-third of European dealers fear new market risk rules will have major effect on hedges
Sell side losing fight over dirty CSAs, data shows
Risk Benchmarking exercise finds growing buy-side push for collateral flexibility
Burnett and Piau on their comprehensive framework for XVAs
Barclays quants explain the bank’s approach to a long-standing problem
The fundamental representation of pricing adjustments
A unified representation of derivative pricing adjustments is presented
Agentic AI for XVAs still five years away, experts say
Risk Live: Questions about validation and accountability keep autonomous AI models out of XVAs for now
LSEG’s FXall to launch credit-intermediated FX forwards service
Split Risk to allow buy side to tap best spot and swap prices to create forwards, and unbundle market and credit risk
ING tops EU peers with hedge-heavy CVA charges
Bank’s €59.4bn CVA hedges dominated by non-CDS instruments
HSBC, Mizuho, US Bancorp ensnared by endgame CVA rule
Notional-based backstop leaves most banks exempt from capitalising non-cleared trades
Squashing CVA still dominates XVA desks’ priorities
Dealers favour options-based strategies to manage charges; some explore contingent CDSs amid rising exposures
XVA desks prioritise core tech upgrades over AI
Vendor upgrades, cloud-native rebuilds and sensitivities tooling dominate 2026 budget road maps
CVA capital charges – the gorilla in the mist
The behaviour of CVA risk weights at US banks in 2020 hints at the impact of the Basel III endgame
Technology vendor of the year: SS&C Algorithmics
Risk Awards 2026: From cloud, to chips, to maths tricks – vendor getting more out of existing tech
SS&C Algorithmics: winner’s interview with Curt Burmeister
SS&C Algorithmics wins three categories in this year’s Markets Technology Awards in addition to Technology vendor of the year at the Risk Awards
XVA desks target capital in optimisation runs
US regulatory uncertainty leaves banks cautious on investing in new optimisation tools, Risk Benchmarking study finds
Almost two-thirds of banks now run XVAs on cloud
Risk Benchmarking study finds a majority of big dealers tapping cloud capacity, some exclusively, with others migrating
Most banks stick to tried-and-trusted XVA models
Black Scholes- and Heath-Jarrow-Morton-based approaches dominate, with some exploring Copulas for wrong-way risk, post-Archegos
XVA Benchmarking: explore the data
Take a deep dive into the findings of our 30-bank study, with interactive charts covering XVA optimisation, regulation and tech stacks
Half of European banks already embed FRTB into XVA pricing
US and rest of world lag Europe in incorporation of Basel capital rules into XVA calculations, Risk Benchmarking analysis shows
Dealers favour central XVA desks, but splits remain on funding
Most banks run a single desk within the front office, but more than half share responsibility for its funding needs with treasury
XVA desks may be standard – their tech and mandates aren’t
A decade into centralised management of XVAs, Risk Benchmarking data finds divergent approaches to pricing, methodologies and tech stacks
Large US banks pile up CVA charges amid tariff shock
JP Morgan’s CVA risk-weighted assets saw largest jump in second quarter since Covid-19