Credit valuation adjustment (CVA)
Basel III: EU G-Sib capital requirement to jump 25%
Basel III output floor will add 5.4% to minimum required capital
UK banks build up risk in Q2
Total RWAs were up £57 billion, from £2.89 trillion to £2.94 trillion
CVA capital at top UK banks falls £260m in H1
HSBC led the way with a 38% reduction, followed by RBS with a fall of 35%
CVA gain bolsters JP Morgan trading revenues
$302 million of first half trading revenues attributed to credit valuation adjustment
Staying alive: the EU’s stubborn CVA exemption
Delayed Pillar 2 capital charge could help US banks take EU market share in corporate hedging
Q&A: French regulator defends bank rules for prop traders
ACPR official wants to set asset threshold for full CRR application below current €30 billion
CVA pricing for commodities with WWR
A calculation of CVA integrating a commodity futures exposure with probability of an event under WWR and credit downgrades
UK banks ramp up market risk
Market RWAs up £18 billion in first quarter
Ring-fencing to starve investment banks of deposit funding
BoE data estimates non-ring-fenced banks will have access to just 4% of household deposits
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 swings boost US bank trading revenues
DVA change pares down dealers' derivative liabilities
US CVA charges over seven times higher than EU
Huge disparity appears to result from EU exemption for corporate trades
JP Morgan counterparty credit risk grows
Risk-weighted assets consumed by least-risky counterparties decline from 57% to 36% in two years
EU banks’ CVA capital to triple if exemptions axed
Seven banks would incur 200bp-plus hit to capital if long-standing waivers were repealed, says EBA
Top UK banks slash CVA capital charges by £680 million
Hedging, market movements, and cuts to exposures behind reductions
XVA: back to CVA?
Fundamental questions on CVA remain unanswered, writes mathematical finance head
A copula approach to credit valuation adjustment for swaps under wrong-way risk
This paper deals with the credit valuation adjustment (CVA) of interest rate swap (IRS) contracts in the presence of an adverse dependence between the default time and interest rates: so-called wrong-way risk (WWR).
Revised Basel output floor could hit US banks after all
Fall in operational risk weights could push up capital requirements for market and credit risk
Reducing noise is as important as radical change
Quants study ways to reduce noise in XVA Greeks calculations
Pathwise XVA Greeks for early-exercise products
The calculation of XVA Greeks for portfolios with early-exercise products is discussed
CVA dismay: final Basel rules disappoint dealers
Minor tweaks don’t make up for removal of internal modelling, say banks
CVA pay day: calculation arbitrage boosts bank profits
Lack of convergence allows some banks to benefit from an arbitrage between booking and pricing the adjustment
Derivatives pricing under bilateral counterparty risk
The authors consider risk-neutral valuation of a contingent claim under bilateral counterparty risk using the well-known reduced-form approach.