Capital valuation adjustment (KVA)
Capital and funding
Quants propose KVA and FVA accounting framework based on Solvency II regulation
XVAs: a gap between theory and practice
Hull and White see splits on FVA, MVA, KVA as irreconcilable
KVA pushes accounting standards to the limit
Radical changes needed if banks are to account for cost of capital
Accounting for KVA under IFRS 13
An accounting treatment for the economic effect of KVA in accordance with IFRS13
From FVA to KVA: including cost of capital in derivatives pricing
Youssef Elouerkhaoui presents a general derivatives pricing framework including cost of capital
Managing XVAs: from whack-a-mole to Mortal Kombat
Joined-up effort to tackle XVAs reflects growing impact of derivatives valuation adjustments
Banks launch drive to crush outsized XVAs
Novations and profit-sharing form part of push to trim derivatives valuation adjustments
Banks work together in effort to reduce XVA costs
Dealers offer rewards to clients and rivals for help in cutting valuation adjustments
Deal of the year: Republic of Senegal / SG CIB / MIGA
Loan insurance from arm of World Bank helped cut CVA and KVA on a $250m cross-currency swap
Year of the XVAs: top technical papers and authors of 2015
Funding valuation adjustment under the microscope, along with other, newer XVAs
Dollar/yen basis blows out as leverage ratio bites US banks
Basis at its widest since European banks faced a global dollar funding squeeze in 2012
MVA will be a ‘game-changer’, say valuation experts
Leap in initial margin will cut CVA, FVA and KVA, but generate new funding effects
Supervisors need to understand XVAs – OCC official
Benhart confirms OCC examiners are looking at valuation adjustments
Albanese: crushing capital costs
Having tackled FVA, Claudio Albanese is now focused on capital optimisation
Veolia: taking XVAs by the horns
Veolia's Damien Vancraeyneste, on capping costs and challenging banks’ calculations
Capital valuation adjustment: our coverage of KVA
Roundup of articles on the emerging discipline
The rise of KVA: how 10 banks are pricing the capital crunch
Risk survey shows new add-on is gaining acceptance and could reshape the swaps business
Banks split on accounting for KVA – Risk survey
Accounting standard is coming, say some - others see no KVA requirement
KVA losses would outweigh FVA – Risk survey
Respondents reveal huge gulf in pricing for generic swap
‘Smart’ derivatives can cure XVA headaches
Cryptocurrency technology could revolutionise derivatives valuation and collateralisation, say Massimo Morini and Robert Sams
MVA by replication and regression
Burgard and Kjaer method is extended to include margin valuation adjustment
KVA: banks wrestle with the cost of capital
As the bank capital burden grows, dealers are trying to price in the associated costs
Warehousing credit risk: pricing, capital and tax
Kenyon and Green model the effects to pricing of credit warehousing, capital and tax
KVA: capital valuation adjustment by replication
KVA are introduced to take into account the effect of capital on funding