Credit valuation adjustment (CVA)
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
Wrong-way risk done right
Jacky Lee and Luca Capriotti present an arbitrage-free valuation method for counterparty exposure of credit derivates portfolios.
‘Smart’ derivatives can cure XVA headaches
Cryptocurrency technology could revolutionise derivatives valuation and collateralisation, say Massimo Morini and Robert Sams
Corporates use XVA caps to limit unwind charges
Veolia caps CVA and FVA unwind costs in trades with 10 banks
Pension funds in limbo as EC leaves Emir exemption gap
Funds could be subject to CVA charge for period of weeks or months
Corporates fear end to Emir's hedge exemption
Counting all trades towards clearing threshold ‘would be a nightmare’
EBA proposes trade-by-trade CVA test for non-EU corporates
Banks would have to check whether exemption applies each time they trade
Cutting Edge introduction: Law-abiding FVA
HSBC quant develops an FVA model that preserves the law of one price
Efficient XVA management: pricing, hedging and allocation
Kenyon and Green show how certain technical elements simplify XVA management
CVA and FVA with liability-side pricing
Wujiang Lou calculates CVA and FVA abiding by the law of one price
Japan banks still not pricing CVA into derivatives trades
A loans-focused business model means credit risk mitigation a low priority
MVA by replication and regression
Burgard and Kjaer method is extended to include margin valuation adjustment
Audit firms driving CVA uptake by Hong Kong and Singapore banks
Local banks have so far been reluctant to move beyond regulatory CVA requirements
Taiwan mandates CVA implementation for all listed banks
Banks will have to account for CVA, but are not expected to price it into OTC deals