HSBC led the way with a 38% reduction, followed by RBS with a fall of 35%
$302 million of first half trading revenues attributed to credit valuation adjustment
Delayed Pillar 2 capital charge could help US banks take EU market share in corporate hedging
ACPR official wants to set asset threshold for full CRR application below current €30 billion
A calculation of CVA integrating a commodity futures exposure with probability of an event under WWR and credit downgrades
Market RWAs up £18 billion in first quarter
BoE data estimates non-ring-fenced banks will have access to just 4% of household deposits
US bank push, rate movements and evolving market practice driving spreads to “suicidal” levels
DVA change pares down dealers' derivative liabilities
Huge disparity appears to result from EU exemption for corporate trades
Risk-weighted assets consumed by least-risky counterparties decline from 57% to 36% in two years
Seven banks would incur 200bp-plus hit to capital if long-standing waivers were repealed, says EBA
Hedging, market movements, and cuts to exposures behind reductions
Fundamental questions on CVA remain unanswered, writes mathematical finance head
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).
Fall in operational risk weights could push up capital requirements for market and credit risk
Quants study ways to reduce noise in XVA Greeks calculations
The calculation of XVA Greeks for portfolios with early-exercise products is discussed
Minor tweaks don’t make up for removal of internal modelling, say banks
Lack of convergence allows some banks to benefit from an arbitrage between booking and pricing the adjustment
The authors consider risk-neutral valuation of a contingent claim under bilateral counterparty risk using the well-known reduced-form approach.
Marco de Innocentis and Sergei Levendorskiĭ describe a faster and more accurate method for market-implied calibration of the Heston model
This paper develops a connection between the Hull–White parametric approach and the PCL correlation approach for CVA calculation.