Credit valuation adjustment (CVA)
Energy market focuses on counterparty risk
Avoiding counterparty meltdown
DVA: a 'shameful scam'
DVA: a ‘shameful scam’
Using credit valuation adjustment to set limits
Credit valuation adjustment for energy and commodity derivatives: part two
The pricing paradox
The pricing paradox
Credit valuation adjustment for energy and commodity derivatives
Calculating CVA at trade and portfolio levels
Technology innovation: Numerix
Structured Products Asia Awards 2012
In defence of FVA – a response to Hull and White
In defence of FVA
Traders close ranks against FVA critics
Traders v. theorists
Putting the fun in funding valuation adjustment
The fun of FVA
Regulation to hit bank profitability - Risk survey
Dealers expect new rules to hit the profitability of their business, but fewer expect to be able to pass the costs along – and more are anticipating a big drop in OTC trading volumes
Asian values – Aaron Woolner column
Asian values
Asia dealers question applicability of CVA to region’s markets
Questionable values
Model foundations of Basel III standardised CVA charge
The credit valuation adjustment (CVA) capital charge in Basel III comes in two flavours: advanced (simulations) and standardised (formula). In this article, Michael Pykhtin shows that the standardised CVA charge formula can be obtained by adding several…
Technology: Cloud on the horizon?
Cloud on the horizon?
Credit Suisse: Algorithmic gymnastics
Algorithmic gymnastics
Risk 25: How Basel III is turning borders into barriers
Turning borders into barriers
Risk 25: Banks prepare for a low-RWA future
Weight loss: preparing for a low-RWA future
Risk 25 firms of the future: Misys
Making technology cheaper
Risk 25 firms of the future: Murex
Industrial revolution
Risk 25: Technology vendors adapt their risk systems
Intelligent thinking for risk systems
Risk 25: The FVA debate
The FVA debate
Relief for dealers as Basel reins in capital for cleared trades
Basel Committee addresses long-standing complaints over default fund exposures and client clearing
Corporate deposits used as CVA mitigant
Banks looking to mitigate the new Basel III CVA capital charge – and using corporate deposits as collateral on derivatives is one option, says banker