Capital valuation adjustment (KVA)
Podcast: Mats Kjaer on how trades affect the balance sheet
Bloomberg quant has developed a balance-sheet model for XVA pricing
In the balance redux
Mats Kjaer developes a dynamic balance-sheet pricing model for valuation adjustments
European FRTB proposals spark XVA overload fears
Banks warn of overly complex revaluation process and heightened risk of backtest fails
The fair basis
Wujiang Lou remodels credit arbitrage by introducing funding and capital costs
Sovereign swaps users should learn from Italy’s mistakes
Posting collateral is a cost debt offices must embrace, argues Stefania Perrucci
Swap spreads halve as dealers fight for corporate market share
US bank push, rate movements and evolving market practice driving spreads to “suicidal” levels
XVA: back to CVA?
Fundamental questions on CVA remain unanswered, writes mathematical finance head
Mnuchin makes life harder for quants
Proposed CCAR changes make KVA calculations even more complex
Margin settlement risk and its effect on CVA
Sponsored feature: CompatibL
XVA reaches far and wide
Sponsored Q&A: CompatibL, Murex and Numerix
EU capital revamp paves way for corporate CVA charge
Draft directive offers national regulators power to override controversial exemption
Fast and accurate KVA using AAD
Sponsored feature: CompatibL
XVA at the exercise boundary
Andrew Green and Chris Kenyon show how the decision to exercise an option is influenced by XVAs
Gap risk KVA and repo pricing
Wujiang Lou introduces a reserve capital approach to the hedging error in the BSM model
Risk optimisation: the noise is the signal
Benedict Burnett, Simon O’Callaghan and Tom Hulme introduce a new method of optimising the accuracy and time taken to calculate risk for an XVA trading book. They show how to make a dynamic choice of the number of paths and time discretisation focusing…
MVA transfer pricing
Wujiang Lou extends liability-side pricing theory to initial margin
Accounting – a quant's job?
Quants have a new interest - developing accounting frameworks
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
KVA pushes accounting standards to the limit
Radical changes needed if banks are to account for cost of capital
Accounting for KVA under IFRS 13
An accounting treatment for the economic effect of KVA in accordance with IFRS13
From FVA to KVA: including cost of capital in derivatives pricing
Youssef Elouerkhaoui presents a general derivatives pricing framework including cost of capital
Managing XVAs: from whack-a-mole to Mortal Kombat
Joined-up effort to tackle XVAs reflects growing impact of derivatives valuation adjustments