Credit valuation adjustment (CVA)
Sponsored statement: Goldman Sachs
Wrong-way CVA done right
To clear or not to clear? Corporates urged to weigh options
Despite hard-won exemptions, corporates should consider the pros and cons of clearing, according to panellists at an ACT event - but treasurers remain unconvinced
Banks look to cut corners on CVA computation
Cutting CVA corners
Italy could face more swap terminations
Italian politicians claim Morgan Stanley's swap termination in January will be a one-off - but dealers say Italy's debt office is subject to other clauses that could have the same effect
Risk Annual Summit: CVA rethink needed, says HSBC risk specialist
Market risk hedges should be recognised when calculating CVA capital charge, says HSBC market risk modelling head
Risk Annual Summit: Deutsche credit risk head questions CRD IV timeline
Banks have nine months until elements of Basel III are due to come into force, but details of implementing legislation are still being debated
New CRD IV draft exempts sovereign trades from CVA capital charge
The latest council draft adds a CVA capital charge exemption for sovereign derivatives transactions – potentially removing one of the big unintended consequences of CRD IV, participants say
Pushing for break-clause capital relief
Break dancing
Show me the money: banks explore DVA hedging
Show me the money
More sovereigns edge towards two-way CSAs - and clearing
Towards two-way CSAs
Structured Products Technology Rankings 2012
Shuffling the pack
Banks criticise plan to deduct DVA from equity capital
Comment letters from Isda and Bank of Montreal argue Basel Committee proposal on DVA deductions goes too far
Danish and Latvian debt offices weigh two-way collateral
The costs of transacting swaps with one-way CSAs mean more debt offices could join Hungary, Ireland, Portugal and Sweden
Downgrade termination costs
Downgrade termination costs
Ambition of Basel's trading book review has faded, sources say
Patchwork of risk measures - including standalone CVA charge - may be left intact
Basel DVA capital deduction could cost banks billions
Billions of dollars in capital could be excluded under Basel proposals on derivatives DVA - with US banks hardest hit
Del Missier: "status quo won't work" for long-dated trades
Dealers will have to change the way they approach long-dated derivatives business, says Barclays Capital’s Jerry del Missier
European capital rules could squash CVA feedback loop
European capital rules could squash CVA feedback loop
Top CROs worry about Basel III consistency
A new research report published this month by Risk reveals that CROs at the world’s largest banks are worried about the consistency of Basel III rules
Conversion of upfront CVA into running CVA
Conversion of upfront CVA into running CVA
Hybrid correlation matrices
Hybrid correlation matrices
Credit portfolio manager of the year: JP Morgan
Risk awards 2012
Quants of the year: Jesper Andreasen and Brian Huge, Danske Bank
Risk awards 2012