Credit valuation adjustment (CVA)
Bank of China’s CVA exposures soar ahead of peers
The bank leads Chinese G-Sibs to log the largest quarterly increase on record
The fundamental representation of pricing adjustments
A unified representation of derivative pricing adjustments is presented
Basel’s CVA upgrade: persuasive in the US, less so in Europe
Ban on credit risk models could encourage US banks to adopt more sophisticated CVA method
Don’t mind the gap risk: regulatory treatment of credit repacks
Gap risk in repackaging is not a credit valuation adjustment for Basel III capital purposes, argues senior quant Andrey Chirikhin
Double, but no trouble? CVA capital hit may lack clout
Industry opinion mixed around Basel III endgame derivatives charge
UK banks add £7.4bn of CCR RWAs
Barclays and Standard Chartered drive counterparty credit risk surge in Q1
Dealers push for more revisions to Basel III endgame
Isda AGM: Goldman, JP Morgan bankers want changes on cross-product netting, CVA and default risk charges
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
Basel III endgame – a timeline
A review of Risk.net’s coverage of the US implementation saga
Squashing CVA still dominates XVA desks’ priorities
Dealers favour options-based strategies to manage charges; some explore contingent CDSs amid rising exposures
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
Record $95bn in equities sits with US banks as OTC margin
Stocks on par with US Treasuries in top dealers’ collateral trove
XVA desks target capital in optimisation runs
US regulatory uncertainty leaves banks cautious on investing in new optimisation tools, Risk Benchmarking study finds
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
Has the Collins Amendment reached its endgame?
Scott Bessent wants to end the dual capital stack. How that would work in practice remains unclear
Basel III reforms expected to lift large bank capital requirements by 2.1%
Latest BCBS analysis highlights increased capital needs from the output floor
Basel III adoption gap widens as Turkey and India stall
With just a third of jurisdictions fully compliant, progress on the post-crisis banking reforms remains uneven worldwide
Finite-difference solution ansatz approach in least-squares Monte Carlo
This paper presents a novel technique, which is simple yet effective, to improve the accuracy and stability of the least-squares Monte Carlo method.