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.
Quant drought hits banks and funds in Asia
Limited pool of talent hindering expansion of sophisticated strategies across buy and sell side
Ibor transition valuation and risk management considerations
The impending move from interbank offered rates to alternate reference rates will require important changes to many valuation and risk management processes and infrastructure. EY Financial Services’ Shankar Mukherjee, Michael Sheptin and John Boyle…
RFR valuation challenges
A new system of interest rate benchmarks for all major currencies is emerging. These new benchmarks will replace interbank funding rates with risk-free rates (RFR). This article by LPA focuses on valuation challenges during the transitional period to new…
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
BAML replaces head of global rates
Gupta and Stanley named co-heads as Roberts exits
Swap spreads halve as dealers fight for corporate market share
US bank push, rate movements and evolving market practice driving spreads to “suicidal” levels
XVA swings boost US bank trading revenues
DVA change pares down dealers' derivative liabilities
Model risk in the transition to risk-free rates
Transition is an opportunity to reduce multi-rate complexities, say Bakkar and Brigo
Rethinking XVA sensitivities – Making them universally achievable
Content provided by IBM
EU banks’ CVA capital to triple if exemptions axed
Seven banks would incur 200bp-plus hit to capital if long-standing waivers were repealed, says EBA
Top UK banks slash CVA capital charges by £680 million
Hedging, market movements, and cuts to exposures behind reductions
Podcast: Fries on Monte Carlo, Greeks and the future of AAD
Research on AAD is not complete until it becomes easier to implement, says quant
Brexit: banks take the ‘no’ out of novations
Swaps clauses stop end-users blocking counterparty switch, making it easier to move trades to EU affiliates
XVA: back to CVA?
Fundamental questions on CVA remain unanswered, writes mathematical finance head
Podcast: Mercurio on Libor, fraud and writing models on a plane
Post-Libor environment and financial crime detection to drive future research, says top quant
Time to move on from risk-neutral valuation?
Risk-neutral valuation could be replaced by models with a subjectivity element, writes mathematical finance head
Cloud set to replace in-house tech for banks
‘No other way’ to meet demands of FRTB, XVA and other changes, claim proponents
Asia Risk Congress 2017: The new XVA challenge
Video interview: Fabio Mercurio, Bloomberg
Mifid costs data leaves swaps users in the dark
Dealer charges can’t be compared, critics complain; banks already bracing for review
Reducing noise is as important as radical change
Quants study ways to reduce noise in XVA Greeks calculations
Pathwise XVA Greeks for early-exercise products
The calculation of XVA Greeks for portfolios with early-exercise products is discussed