Credit valuation adjustment (CVA)
Mizuho reveals $270m CVA loss
Further losses may be reported as bank refines its methodology, sources say
Could machine learning improve CVA and IM calculations?
Banks have built ways to calculate CVA more quickly, but neural networks could offer more accurate method
CVA and IM: welcome to the machine
Henry-Labordere proposes a neural networks-based technique to price counterparty risk and initial margin
Dawn of CVA threatens hedging woe for Japan banks
Japan’s thinly traded CDS market will make CVA hedging challenging, dealers say
CVA study highlights scale and causes of wrong-way risk
Researchers advise including correlations both with rate level and volatility in CVA calculations
Japan banks face huge CVA hit, dealers say
Revaluation of derivatives books likely to cause hundreds of millions in one-off losses
Counterparty trading limits revisited: from PFE to PFL
The potential future loss is proposed as a replacement for PFE
Fall in market risk prods UK bank RWAs lower
Total RWAs amounted to £2.9 trillion at end-September
JP Morgan’s CVA charge jumps $203m in Q3
Median CVA capital charge for US G-Sibs was $2.1bn in third quarter
ING reaps third-quarter CVA capital savings
Intesa and Caixabank also see CVA charges decline
StanChart CVA charge jumps 161% in Q3
Charge rises to $99 million in three months to end-September
Brexit set to jack up banks’ capital costs
Split into UK and EU arms will reduce netting benefits and capital flexibility
Quant of the year: Alexei Kondratyev
Risk Awards 2019: A glimpse of the future? Quant uses ML to model term structure and crunch margin costs
Basel III: EU G-Sib capital requirement to jump 25%
Basel III output floor will add 5.4% to minimum required capital
UK banks build up risk in Q2
Total RWAs were up £57 billion, from £2.89 trillion to £2.94 trillion
CVA capital at top UK banks falls £260m in H1
HSBC led the way with a 38% reduction, followed by RBS with a fall of 35%
CVA gain bolsters JP Morgan trading revenues
$302 million of first half trading revenues attributed to credit valuation adjustment
Staying alive: the EU’s stubborn CVA exemption
Delayed Pillar 2 capital charge could help US banks take EU market share in corporate hedging
Q&A: French regulator defends bank rules for prop traders
ACPR official wants to set asset threshold for full CRR application below current €30 billion
CVA pricing for commodities with WWR
A calculation of CVA integrating a commodity futures exposure with probability of an event under WWR and credit downgrades
UK banks ramp up market risk
Market RWAs up £18 billion in first quarter
Ring-fencing to starve investment banks of deposit funding
BoE data estimates non-ring-fenced banks will have access to just 4% of household deposits
Swap spreads halve as dealers fight for corporate market share
US bank push, rate movements and evolving market practice driving spreads to “suicidal” levels