Quant Congress USA: Ban DVA, counterparty risk quant says
Banks should not book paper profits as their own debt quality worsens, the Risk conference heard yesterday
Debt value adjustments (DVAs), which allow counterparties to financial transactions to book upfront gains as the probability of their own default increases, should be banned and removed from regulatory and accounting requirements, according to a top quant.
Speaking at Risk's Quant Congress USA event, Jon Gregory, a counterparty credit risk consultant and former global head of credit quantitative analytics at Barclays Capital, called for the banning of the trading of DVAs by credit valuation
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