Credit valuation adjustment (CVA)
Basel III endgame: why moving fast might prove better for banks
Republicans are pushing for reproposal, but a rapid finalisation may prove less far-reaching
US dealers slam capital hit on clearing for unreal CVA risk
Fed would diverge from Basel standards by imposing CVA capital on client-cleared trades
CVA swap: a new type of capital relief trade
Dmitry Pugachevsky, Quantifi, discusses the emergence of the CVA swaps market
UBS predicts RWA cuts hampered by Basel III, model updates
Planned wind-down of unwanted Credit Suisse assets to be offset by $25 billion in add-ons
Evaluating credit valuation adjustment with wrong-way risk for Bermudan options
The authors propose a method for credit valuation adjustment evaluation that avoids the need for simulation while maintaining efficiency and accuracy.
New developments in XVA: bank strategy in a changing world
Derivatives valuation has grown in complexity since the the financial crisis that began in 2007–08. It now encompasses a broader range of risk factors, including credit, funding, margin and capital – all of which can affect banks’ competitiveness and…
XVA dynamics from a buy-side perspective: the latest strategies and insights
XVA components have once again gained prominence as crucial factors impacting the earnings of financial institutions. This webinar explores key aspects of XVA from a buy-side perspective, shedding light on strategies to navigate this complex terrain and…
US Basel endgame hits clearing with op risk capital charges
Dealers also fret about unlevel playing field compared with requirements in the EU
Norinchukin’s RWAs up 21% as Basel III formulas react to market volatility
Market charges up 230% in harsh test of new standardised approaches
Goldman most threatened by Fed’s rejig of modelled capital charges
End of credit risk modelling and scaling up of SCB’s role could tip six US banks below minimum requirements
Banks slam zombie floors in Basel endgame proposal
US regulators double down on capital floors despite clampdown on internal models
Crédit Agricole’s XVA head departs
Laurent Chédin is leaving the banking sector; Mickael Crabos takes his place
Citi’s CVA charge up 7% in Q1
Bank retains the highest capital requirements of any US dealer, ahead of JP Morgan and Bank of America
CVA desks avoided re-hedging as Credit Suisse teetered
As credit spreads blew out, dealers opted not to adjust rates and FX risks
Small banks set for 2% capital reduction under Basel III
Lower leverage ratio requirements expected to offset Tier 1 capital increases for credit risk and output floor
UK banks’ CVA charges ballooned by £8bn in volatile Q3
Bank of England figures show capital requirements at highest since early pandemic readings
OTC clearing rebounded at G-Sibs in 2021
Trend reverses as bilateral settlement of OTC derivatives loses previous year’s gains
European banks’ CVA RWAs up €2.2bn in Q3
Banco Sabadell, Intesa Sanpaolo and ING Bank reported largest quarterly increases
Strong dollar pushes ANZ’s CVA charges up 57%
Risk-weighted assets rose A$1.4 billion in three months; biggest quarterly increase since mid-2019
FVA hedge omission from FRTB set to cause headaches
Lack of carve-out for market risk hedges could create hedging issues, experts say
Nomura loses $18m on derivatives CVAs and DVAs
Net result from own and counterparty credit spreads swings to negative
Hong Kong, India, Turkey lag behind on Basel III framework
Only Canada, Japan and Saudi Arabia ready for full implementation as January deadline approaches
EU tweaks set to temper Basel III capital hike by a third
Changes to required capital for credit risk expected to be main driver behind average reduction
European banks set for 17.5% capital hike under Basel III
Output floor could account for almost half the increase in Tier 1 capital requirements by 2028