Debit valuation adjustment (DVA)
KVA: banks wrestle with the cost of capital
As the bank capital burden grows, dealers are trying to price in the associated costs
Cutting edge introduction: FVA out of balance
Some quants are arguing FVA should not be part of earnings
Warehousing credit risk: pricing, capital and tax
Kenyon and Green model the effects to pricing of credit warehousing, capital and tax
FVA accounting, risk management and collateral trading
Albanese, Andersen and Iabichino present a method for accounting and risk managing FVAs
Morgan Stanley takes $468m FVA loss
US bank takes one-off charge to reflect cost of uncollateralised receivables
BAML takes $497m FVA loss
US bank becomes thirteenth to reflect cost of uncollateralised trades
Quants of the year: Christoph Burgard and Mats Kjaer
Risk Awards 2015: Barclays quants put FVA on solid ground
KVA: capital valuation adjustment by replication
KVA are introduced to take into account the effect of capital on funding
Risk-neutral pricing – Hull and White debate Kenyon and Green
XVA specialists spark debate on regulation and risk-neutrality
The black art of FVA, part II: Conditioning chaos
Banks under pressure to join JP Morgan and others that have embraced FVA - but complexity is huge and consensus elusive
JP Morgan takes $1.5 billion FVA loss
The US bank announces a one-off FVA primarily due to uncollateralised derivatives receivables
Funding strategies, funding costs
Funding strategies, funding costs
The law of one price is gone
Sponsored statement: Absa
Replacement costs add to OTC pricing upheaval
Down the rabbit hole
Barclays and JP Morgan among first to centralise ‘XVA’ desks
Dealers are looking to consolidate desks that manage adjustments for credit, debit and funding valuation
Introducing the XVA desk - a treasurer's nightmare
Grand centralisation
RVA proving a struggle for derivatives counterparties
In this video discussion, Duncan Wood, editor of Risk, talks to Nick Sawyer, Risk’s editor-in-chief, about attempts to price in a replacement valuation adjustment on derivatives trades
Wrong-way risk, credit and funding
The risk of exposure and counterparty default probability both increasing – so-called wrong-way risk – is usually understood in terms of the correlation between the two variables. But this approach is focused more on the centre of the distribution, and…
Flexible technology needed to respond to regulatory change, says Fincad
Regulatory change will force firms to alter their behaviour, and their technology platforms need to keep pace
The black art of FVA: Banks spark double-counting fears
Dealers broadly agree that funding costs and benefits should be priced into uncollateralised trades, and some banks have started recognising this in their financial statements. But there is no standard practice, and there are fears of double-counting. By…
Cutting Edge introduction: CVA for CDSs
Counterparty risk is generally thought of at a portfolio level, but understanding how a particular payout interacts with credit and debit valuation adjustments could help banks make business decisions. Laurie Carver introduces this month’s technical…
Wrong-way risk, credit and funding
The risk of exposure and counterparty default probability both increasing – so-called wrong-way risk – is usually understood in terms of the correlation between the two variables. But this approach focuses more on the centre of the distribution. This…
CDSs, CVA and DVA – a structural approach
CDSs, CVA and DVA – a structural approach