Technical paper/Credit valuation adjustment (CVA)
Cutting Edge introduction: The origins of the standardised CVA charge
The origins of CVA
Cutting CVA's complexity
Cutting CVA's complexity
Model foundations of the Basel III standardised CVA charge
Model foundations of the Basel III standardised CVA charge
Downgrade termination costs
Downgrade termination costs
Conversion of upfront CVA into running CVA
Conversion of upfront CVA into running CVA
Hybrid correlation matrices
Hybrid correlation matrices
Cutting Edge introduction: clarity needed on credit adjustments
Credit and credibility
Cutting Edge: the year of CVA
The year of CVA
Close-out convention tensions
Close-out convention tensions
Funding cost adjustments for derivatives
Funding cost adjustments for derivatives
Cutting Edge introduction: the DVA debate
The DVA debate
Getting CVA up and running
Getting CVA up and running
In the balance
Christoph Burgard and Mats Kjaer discuss the relationship of the funding cost adjustment to the balance sheet
Perverse capital
Perverse capital
Counterparty risk capital and CVA
Counterparty risk capital and CVA
Risky funding with counterparty and liquidity charges
Risky funding with counterparty and liquidity charges
Capturing credit correlation between counterparty and underlying
Capturing credit correlation between counterparty and underlying
Risky funding with counterparty and liquidity charges
Risky funding with counterparty and liquidity charges
Continuing to rebuild
Degrees of influence
Post-shock short-rate pricing
Post-shock short-rate pricing
CVA and the equivalent bond
CVA and the equivalent bond