Credit valuation adjustment (CVA)
Nordea’s CVA charge drops 34%
CVA requirements are at their lowest level since Q3 2018
UK bank RWAs inch up on credit and counterparty risk
Total RWAs stable year-on-year
CVA exemption in Basel III could save EU banks more than €18bn
Tweaks to op risk framework might reduce capital shortfall by €12.3 billion
Podcast: Gregory and Chung on wrong-way risk modelling
Quants discuss a better way to model wrong-way risk
Big banks to bear brunt of Basel III reforms in EU
G-Sibs short €82.8 billion of Basel III capital
CVA wrong-way risk: calibration using a quanto CDS basis
Tsz-Kin Chung and Jon Gregory calibrate wrong-way risk with the help of quanto CDS values
CVA, debt raising said to drive SoftBank CDS trading
Volumes rise as tech giant’s debt spree forces banks to hedge their counterparty exposure
Counterparty risk: credit valuation adjustment variability and value-at-risk
This paper proposes an efficient method to obtain the distribution of the CVA at a given risk horizon, from which risk measures such as the CVA VaR can be computed.
Banco Santander’s CVA charge drops 20% in Q1
Three EU G-Sibs cut capital requirements, three increase them
Default fund costs dominate US G-Sibs’ cleared swaps charges
Default fund contributions accounted for 62% of the eight banks’ RWAs
Japan’s megabanks begin pricing in CVA
Local firms align with foreign dealers to include counterparty credit risk in corporate swap quotes
Fed pushes big banks to calculate CVA for CCPs
Banks including JP Morgan and Credit Suisse told to quantify exposure to CCPs for annual stress tests
Morgan Stanley’s CVA charge swells 19% in Q1
Credit valuation adjustment capital charges have decreased at most G-Sibs year-on-year
Top UK banks' CVA charges up 10% in Q1
Barclays' and Standard Chartered's requirements increase over 20% each
StanChart's CVA charge triples year-on-year
Capital requirement hits $112 million at end-March
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