Credit valuation adjustment (CVA)
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.
US Basel III endgame: counterparty credit risk rumblings
CVA rules need better recognition of clearing and hedging, while SA-CCR netting questions linger
Trade tensions lift China G-Sibs’ CVA charges 10% in Q2
Top Chinese banks’ RWAs rebound for first time since Basel III overhaul
Large US banks pile up CVA charges amid tariff shock
JP Morgan’s CVA risk-weighted assets saw largest jump in second quarter since Covid-19
CVA risk hits record highs at DBS and UOB
Singaporean banks post biggest RWA increases since 2022
Basel III overhaul doubles Nomura’s credit risk
Surge reflects asset migration and new equity treatment
Danske shrinks CVA capital charges 44% after hedge revamp
Credit protection buying spree helps cut capital requirements to lowest level since 2014
CVA risk charges spike 73% at EU banks under Basel III
Crédit Agricole leads surge, as basic approach dominates CVA capital calculations
Softer DFAST market shock favours Goldman but confounds comparability
Tweak to trading book test reveals widening gap between bank and Fed loss forecasts
European supervisors showing ‘no mercy’ on SA-CVA approvals
Risk Live: Bank of America found the compliance workload similar to FRTB internal models
CVA capital charges more than double at BPCE post-Basel III
French bank leads European trend of elevated capital requirements under new rules
BNP Paribas’s CVA risk charges swell 56% on Basel III overhaul
Impact of new formulas is largest yet for a G-Sib
Patience pays off for XVA desks in wild week of tariff swings
Dealers avoided knee-jerk reactions that could have caused credit spreads to widen further
FRTB may bite harder for Europe’s CVA modellers
Farther reach of advanced approach and lighter load on total requirements mean limited takeaways from Canada and Japan’s implementation
UBS’s CVA charges spike by 30% under new market risk regime
Proportional impact is higher than at any FRTB adopter so far
A peek under the hood of Canadian banks’ new CVA machine
Disclosures from the country’s top dealers offer first glimpse of how FRTB reforms can reshape capital gauge for potential losses on derivatives
Basel uniformity fades as members defy dress code
Rule-makers diverge from Basel III standards, denting aims of comparability and fuelling fears over fair competition
EU banks show basic instinct for credit valuation adjustments
Simpler approach to CVA appeals even to some already using more complex models for counterparty risk
RBC’s CVA risk charges swell 42% in first year under FRTB
Bloating RWAs contrast with declines at peers employing new standardised approach
Credit risk transfer, with a derivatives twist
Dealers angle to revive market that enables them to offload counterparty exposures, freeing up capital
Morgan Stanley’s CVA capital charges surge 42% in Q3
Jump in simple approach output drives RWAs to highest since 2020
Nine jurisdictions yet to finalise Basel III rules
Turkey and South Africa worst laggards, with no final drafts published
Running the numbers on Barr’s Basel III endgame revisions
Fed vice-chair’s plan to ease capital requirements for big banks still lacks critical details