Credit valuation adjustment (CVA)
Perverse capital
Perverse capital
Sovereign volatility puts Basel III CVA charge in spotlight
Basel III feedback loop between CDS spreads and CVA capital requirements worries dealers, following month of huge sovereign spread moves
Counterparty risk capital and CVA
Counterparty risk capital and CVA
CVA charge will hit sovereign exposures
Adjusting to change
BAML's Lipton: discrete models essential to cut CVA computation costs – Video
Top quant says a CVA model that is 80% accurate but takes 20% of the time is "very attractive"
RBS expands CVA quant team
RBS adds former Barclays Capital and Lehman quant to help build firm-wide CVA model
Dealers push for further CVA amendments under Basel III
Adjusting the adjustments
Supervisors seek to manage shadow banking risks
Chasing shadows
Industry models not sufficiently developed to calculate CVA charge, says Basel Committee
Basel Committee sticks to its decision not to allow banks to use their own models to calculate the CVA capital charge under Basel III
Impact of regulatory reform only 50% understood, warns KPMG's Topping
A substantial amount of the regulatory reform sweeping the US and Europe is still little understood and Asian institutions have yet to get to grips with the full impact of these changes, say speakers at industry event in Hong Kong. Intra-day data and new…
Technology innovation of the year
Technology innovation of the year
Supervisors on the tracks of shadow banks
Chasing shadows
Quants continue to criticise counterparty risk measures
Adjusting the adjustments
Risk Europe: Tweaks to Basel III will raise deadline pressure for banks
Changes to the detail of Basel III will make timely implementation a challenge, say attendees at Risk Europe
Risky funding with counterparty and liquidity charges
Risky funding with counterparty and liquidity charges
Funding and pricing OTC derivatives proves treacherous in Australia
Treacherous path ahead
Technology vendor rankings 2011: The results
Technology triumphs
Capturing credit correlation between counterparty and underlying
Capturing credit correlation between counterparty and underlying
Banks seek technology answers for Basel III
An uphill struggle
The end of the risk-free rate
The risk-free myth
Risky funding with counterparty and liquidity charges
Risky funding with counterparty and liquidity charges
Collateral could add billions to European debt figures
Swedish debt figures set to grow by Skr15 billion as country falls in line with EU guidelines on collateral reporting - Belgium resisting two-way CSA over possible debt impact
Regulation
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