Credit valuation adjustment (CVA)
FVA sceptics lose ground in valuation debate
Market needs to move on from theoretical argument and focus on numbers
The funding invariance principle
Youssef Elouerkhaoui shows how the choice of discounting rate is irrelevant for pricing
Banks work together in effort to reduce XVA costs
Dealers offer rewards to clients and rivals for help in cutting valuation adjustments
Deal of the year: Republic of Senegal / SG CIB / MIGA
Loan insurance from arm of World Bank helped cut CVA and KVA on a $250m cross-currency swap
Emerging markets dealer of the year: Standard Bank
South African dealer reaping rewards of local market knowledge and international reach
How FVA saved the cross-currency swap
Funding benefits have slashed pricing for some uncollateralised trades
Dodgy discounts: DVA claims fly in cross-currency market
Derided pricing adjustment is being used to undercut competition, traders claim
A risk-based performance pipe dream?
Content provided by IBM
Oil rout sharpens energy companies' focus on credit risk
As defaults rise, firms step up sophistication of counterparty assessments
CVA with Greeks and AAD
Reghai, Kettani and Messaoud present new technique to calculate CVA using adjoints
Cutting edge introduction: Jumpy wrong-way risk
Quants propose easy approximations for modelling wrong-way risk in CVA frameworks
MVA will be a ‘game-changer’, say valuation experts
Leap in initial margin will cut CVA, FVA and KVA, but generate new funding effects
Jumping with default: wrong-way risk modelling for CVA
Fabio Mercurio and Minqiang Li investigate CVAs in the presence of wrong-way risk
FVA for general instruments
Alexander Antonov, Bianchetti and Mihai develop a universal and efficient approach to numerical FVA calculation
JSE swap futures off to a slow start
Dealers struggling with CVA pricing and internal approvals
Supervisors need to understand XVAs – OCC official
Benhart confirms OCC examiners are looking at valuation adjustments
Dealers criticise Basel’s 'nonsensical’ CVA impact study
Tight deadline and limited portfolio makes measurement difficult
Dealers fret over Basel CVA revisions
Punitive standardised approach may replace modelling
Traders see DVA adjustment as 'accounting fudge'
Dealers at London event remain unconvinced by controversial funding adjustment
A non-linear PDE for XVA by forward Monte Carlo
Vladimir Piterbarg considers a non-linear partial differentiation equation that appears in a number of XVA-related contexts, including a one-way credit-support annex, credit value adjustment with risky closeout, option pricing with differential borrowing…
FVA – what's wrong, and how to fix it
Albanese and Andersen elaborate on controversial Risk article
Banks shun internal models in CVA impact study
Accounting exposures win out as banks seek to align capital with front-office practice
Veolia: taking XVAs by the horns
Veolia's Damien Vancraeyneste, on capping costs and challenging banks’ calculations
The rise of KVA: how 10 banks are pricing the capital crunch
Risk survey shows new add-on is gaining acceptance and could reshape the swaps business