Credit valuation adjustment (CVA)
Managing the alphabet soup of XVAs
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Dealers grapple with netting valuation adjustments
Some banks are expressing netting uncertainty as a fair value adjustment to CVA
Modeling joint defaults in correlation-sensitive instruments
This paper presents a simple model for joint defaults and shows how it can be applied to pricing and risk-managing instruments that are sensitive to credit correlation.
Banks fear costs from loss of AAD under simpler FRTB rules
Trading book regime may force use of more expensive and time-consuming ways of computing risk sensitivities
CVA models may miss half of true default risk
Benefits of initial margin also overstated, new research finds
Why not having AAD needn’t be the end of the world
Optimisation method offers quicker and more focused way of making XVA calculations
Banks take flexible approach to pricing netting risks
Dealers are adjusting CVA prices, depending on their view of the legal netting opinion
MVA: swaps scale new heights in complexity
Banks are turning their attention to calculating a new derivatives valuation adjustment
Lloyds' CVA head exits for JP Morgan
Julian Keenan leads Asia credit portfolio trading at the US bank
Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
In the paper, real-world and risk-neutral scenarios are combined for the valuation of the exposure values of Bermudan swaptions on real-world Monte Carlo paths.
CVA desks suffer Brexit double whammy
Cross-gamma losses estimated at more than $25m for each dealer
Futureproofing risk management
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Structured products: The new value chain
Sponsored Q&A: Murex
A bond consistent derivative fair value
This paper presents a rigorously motivated pricing equation for derivatives.
Basel Committee’s CVA shocker ignores trade-offs
Ditching own models for CVA risk is too binary and eliminates possibility of further dialogue
Dealers disagree over charge for CCP counterparty risk
Fed stress tests push US banks towards charging CVA for cleared derivatives
Enria: new legislation can help bolster AT1 market
The EBA is also reconsidering its advice to the European Commission on the treatment of CVA risk
Basel CVA bombshell widens gulf with bank accounting
Dealers face conflicting incentives and capital hike after internal models are blown away
Regional banks may benefit from Basel CVA surprise
Basel Committee decision removes potential source of competitive advantage for large dealers
Expected shortfall and VAR: cracking the marginal allocations
A new method to estimate marginal VAR and marginal ES is presented
Capital and funding
Quants propose KVA and FVA accounting framework based on Solvency II regulation
XVAs: a gap between theory and practice
Hull and White see splits on FVA, MVA, KVA as irreconcilable
MUFG head criticises internal modelling restrictions
Isda AGM: Mitsubishi UFJ Group CEO also sounds warning on sovereign risk weights and CVA