Valuation adjustments (XVAs)
WHAT IS THIS? The XVAs are a family of adjustments that can be made to the price of a derivatives trade, reflecting counterparty risk (CVA), own-default risk (DVA), funding (FVA), capital (KVA) and margin (MVA). Their theoretical roots and practical implementation are still debated, but pragmatism also matters: banks that ignore XVAs are at risk of mispricing a trade; banks that include them are at risk of never winning a trade.
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XVA solution of the year: Murex
With predictions of when the Fed might cut rates constantly changing, it has been a roller-coaster year for markets. This has encouraged financial institutions to push out new innovations to their clients. Having reliable support with XVAs helps them…
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From chaos to clarity: the role of clean data in banks’ digital journeys
In a Risk Live Europe panel session sponsored by Numerix, experts explored the role that clean and accurate data plays in digital transformation. Here we examine the main themes arising from the discussion