Debit valuation adjustment (DVA)
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
Proxy war: Shrinking CDS market leaves CVA and DVA on shaky ground
Runaway adjustments
DVA for assets
DVA for assets
Cutting Edge introduction: Goodwill for DVA
Goodwill blunting
Closing out DVA
Closing out DVA
DVA for assets
DVA for assets
Closing out DVA
Closing out DVA
Replacing VAR, OIS discounting and the future of quant finance – the top stories of 2012
The Basel Committee’s proposal to scrap VAR and the move to OIS discounting struck a chord with Risk.net readers in 2012
Risk software survey 2012
Coping with complexity
Cutting edge 2012: From stochastic volatility to shameful scams
From stochastic volatility to shameful scams
The impossibility of DVA replication
The impossibility of DVA replication
DVA: a 'shameful scam'
DVA: a ‘shameful scam’
The impossibility of DVA replication
The impossibility of DVA replication
The FVA debate continues: Hull and White respond to their critics
The FVA debate continues
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
Credit Suisse: Algorithmic gymnastics
Algorithmic gymnastics
Risk 25 firms of the future: Basel Committee
Implementing rules and filling in gaps
Risk 25: The FVA debate
The FVA debate
Risk Annual Summit: DVA hedging creates systemic risk, says Brigo
King's College professor of finance Damiano Brigo says regulators should clamp down on dealers looking to hedge debit value adjustment gains by selling CDS protection on closely correlated names