Credit valuation adjustment (CVA)
Sovereign swaps users should learn from Italy’s mistakes
Posting collateral is a cost debt offices must embrace, argues Stefania Perrucci
Will the Nasdaq default spur CVA for CCPs?
Quant proposes model to calculate bank credit risk exposure to CCP
Lower credit risk shrinks UK banks’ RWAs
Figures from the Bank of England show total RWAs for the UK banking sector amounted to £2.83 trillion at end-December
Top UK banks cut CVA capital by £190 million
Barclays and StanChart are only two banks with higher CVA capital requirements in 2018
Goldman Sachs cuts CVA capital 39% in 2018
On aggregate, CVA charge across US G-Sibs fell $2.2 billion to $14 billion year-on-year
Wells Fargo takes $112m CVA hit in 2018
Trading revenues decline $54 million overall through derivatives adjustments
Mizuho reveals $270m CVA loss
Further losses may be reported as bank refines its methodology, sources say
Could machine learning improve CVA and IM calculations?
Banks have built ways to calculate CVA more quickly, but neural networks could offer more accurate method
CVA and IM: welcome to the machine
Henry-Labordere proposes a neural networks-based technique to price counterparty risk and initial margin
Dawn of CVA threatens hedging woe for Japan banks
Japan’s thinly traded CDS market will make CVA hedging challenging, dealers say
CVA study highlights scale and causes of wrong-way risk
Researchers advise including correlations both with rate level and volatility in CVA calculations
Japan banks face huge CVA hit, dealers say
Revaluation of derivatives books likely to cause hundreds of millions in one-off losses
Counterparty trading limits revisited: from PFE to PFL
The potential future loss is proposed as a replacement for PFE
Fall in market risk prods UK bank RWAs lower
Total RWAs amounted to £2.9 trillion at end-September
JP Morgan’s CVA charge jumps $203m in Q3
Median CVA capital charge for US G-Sibs was $2.1bn in third quarter
ING reaps third-quarter CVA capital savings
Intesa and Caixabank also see CVA charges decline
StanChart CVA charge jumps 161% in Q3
Charge rises to $99 million in three months to end-September
Brexit set to jack up banks’ capital costs
Split into UK and EU arms will reduce netting benefits and capital flexibility
Quant of the year: Alexei Kondratyev
Risk Awards 2019: A glimpse of the future? Quant uses ML to model term structure and crunch margin costs
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