Credit valuation adjustment (CVA)
Risk.net: Top 15 stories of 2011
Derivatives pricing, collateral and Basel 2.5 and Basel III are the most read stories of 2011
ACT warns of risks from regulation in 2012
Basel III and Emir could push companies out of Europe, predicts ACT deputy policy director
Asia Risk 2011 interdealer rankings: Dealers
The eurozone crisis has been the main driver of Asian markets in recent months, and with concerns about a possible break-up of the euro growing, end-users have been reluctant to invest. In what has been a tricky environment for dealers, market…
OECD debt offices call for derivatives collateral debate
New report calls for debt offices to weigh the pros and cons of two-way collateral and clearing
The CVA-CDS feedback loop
The CVA-CDS feedback loop
Quants call for Isda to clarify close-out values
Leading quants highlight ambiguity in Isda master agreement - but warn that resolving the issue could worsen systemic risk
Corporates complain about transparency of unwinds
Wound up by unwinds
Risk software survey 2011
Compliance is key
Review of 2011: collateral, capital and chaos
Collateral, capital and chaos
Cutting Edge introduction: clarity needed on credit adjustments
Credit and credibility
Cutting Edge: the year of CVA
The year of CVA
Close-out convention tensions
Close-out convention tensions
Funding cost adjustments for derivatives
Funding cost adjustments for derivatives
CCP capital rules could discourage client clearing, critics claim
Revised Basel rules provide little capital incentive for clearing members to clear trades on behalf of clients, bankers argue
CDS: not dead yet
CDS: not dead yet
Dealers predict CVA-CDS loop will create sovereign volatility
A recipe for disaster?
Credit Suisse and UBS on Basel 2.5: Half a world away
Half a world away
Illiquidity holding back CCDS, despite Basel III endorsement
Basel III allows contingent credit default swaps (CCDSs) to be used as a mitigant when calculating credit value adjustment. Advocates of CCDSs hope that will give the market some momentum – but others say the product will continue to suffer from a…
Q&A: Stefan Walter on Basel III, RWAs, 'anti-American' rules and CVA
“It’s good to have hard deadlines”
Cutting Edge introduction: the DVA debate
The DVA debate
CVA desks to keep buying sovereign CDSs – even if they never pay out
Even if CDS contracts are not triggered in Greek restructuring, Basel III's CVA charge ensures the market will live on - but episode raises fresh questions about design of capital framework, dealers say
Getting CVA up and running
Getting CVA up and running
In the balance
Christoph Burgard and Mats Kjaer discuss the relationship of the funding cost adjustment to the balance sheet
Delayed Basel trading book review will be broad, say supervisors
Basel Committee is expected to consider wide range of topics, including VAR, liquidity, CVA and the line between banking and trading books - but overall capital requirements are not likely to change