Credit valuation adjustment (CVA)
Funding strategies, funding costs
Funding strategies, funding costs
ROE hurdles cause pricing impasse
In the Basel III world, traders know their business must deliver a target return on equity, or risk being shut down – but working out the capital cost, or benefit, of a trade at inception is so difficult that banks only have approximations to guide them…
Initial margin to significantly impact development of Asian derivatives markets: Asifma
Asifma head Austen wants exclusion of initial margin from Asian jurisdictions’ derivatives market regulation
Osfi copies US CVA charge to protect Canadian banks
Canadian regulator wants its banks to compete on same terms as US rivals
Cutting Edge introduction: systematic systematic factor models
Credit factor models tend to obscure the economics in favour of tractability – and this puts them at odds with rigorous arbitrage-free martingale pricing methods. To resolve this, quants are looking more closely at what a systematic risk factor actually…
Capital or P&L? Deutsche Bank losses highlight CVA trade-off
Critics of Basel III’s credit valuation adjustment (CVA) capital charge have long warned it would produce perverse incentives. Now, in the form of a string of quarterly losses in Deutsche Bank’s CVA hedging programme, they believe they are being proved…
Pooled fund clearing questions vex CVA desks
Dealers and pension funds still waiting for clarity on whether hedging vehicles are covered by Europe's swap clearing exemption
Deutsche Bank's €94 million CVA loss was "good business", dealers say
Big loss was accompanied by even bigger capital saving, traders point out. Other banks now working out their own policy on controversial capital charge
Banks put ‘lazy’ assets to work in first initial margin agreements
Banks tout 'tremendous' capital savings as Bank of America, Barclays, Citi and other swap dealers start using illiquid assets as initial margin
The law of one price is gone
Sponsored statement: Absa
Energy Risk Europe: Questions over benefits of CVA for energy firms
Lack of credit team or CVA desk might make use of measure counterproductive, panellists worry
Cutting Edge introduction: pricing the CVA doom loop
Pricing the CVA doom loop
Capital relief accounts for 70% of some CDS spreads, quants say
New research sheds light on implications of product's role as regulatory capital hedge
Optimising the capital ratio under Basel III
Sponsored statement: Moody's Analytics
Replacement costs add to OTC pricing upheaval
Down the rabbit hole
Barclays and JP Morgan among first to centralise ‘XVA’ desks
Dealers are looking to consolidate desks that manage adjustments for credit, debit and funding valuation
Introducing the XVA desk - a treasurer’s nightmare
Grand centralisation
KfW justifies exemptions from Emir
German government-owned development bank KfW managed to win an exemption from clearing and margin requirements under European derivatives regulation - a benefit not extended to its peers. Luke Clancy asks why
RVA proving a struggle for derivatives counterparties
In this video discussion, Duncan Wood, editor of Risk, talks to Nick Sawyer, Risk’s editor-in-chief, about attempts to price in a replacement valuation adjustment on derivatives trades
Deutsche Bank loses €94 million on CVA mismatch
Hedges worked as capital mitigant, but generated an accounting loss, bank says
VAR models need overhaul to apply CVA proxy rules, says EBA
EBA surprises industry with eleventh-hour guidance that spread simulations – not just initial levels – should account for rating, region and sector
Wrong-way risk, credit and funding
The risk of exposure and counterparty default probability both increasing – so-called wrong-way risk – is usually understood in terms of the correlation between the two variables. But this approach is focused more on the centre of the distribution, and…
No CVA exemptions in US Basel III rules
Europe isolated as US regulators opt for broad counterparty risk charge
