Credit valuation adjustment (CVA)
EBA proposes trade-by-trade CVA test for non-EU corporates
Banks would have to check whether exemption applies each time they trade
Cutting Edge introduction: Law-abiding FVA
HSBC quant develops an FVA model that preserves the law of one price
Efficient XVA management: pricing, hedging and allocation
Kenyon and Green show how certain technical elements simplify XVA management
CVA and FVA with liability-side pricing
Wujiang Lou calculates CVA and FVA abiding by the law of one price
Japan banks still not pricing CVA into derivatives trades
A loans-focused business model means credit risk mitigation a low priority
MVA by replication and regression
Burgard and Kjaer method is extended to include margin valuation adjustment
Audit firms driving CVA uptake by Hong Kong and Singapore banks
Local banks have so far been reluctant to move beyond regulatory CVA requirements
Taiwan mandates CVA implementation for all listed banks
Banks will have to account for CVA, but are not expected to price it into OTC deals
The black art of FVA, part III: a $4 billion mistake?
Quants argue banks are inflating FVA; Crédit Agricole among those weighing new approach
FVA: How six smaller banks do it
From ING to Danske Bank, regional players are taking part in the FVA debate, but practices are mixed
Banks in India face CVA fees double European levels
The RBI's use of a conservative standard CVA approach is overly prudent, say dealers
Q&A: Finansinspektionen's Uldis Cerps on capital floors and too-big-to-fail
Floors framework should not overstate risk, says Sweden's bank supervision chief
Basel Committee launches FVA project
US regulators also looking into divergent valuations for uncollateralised swaps
EBA warns banks to correct pension fund CVA ‘mistake’
Clearing test has to be met for CVA safe harbour to apply, lawyers say
Corporates eye cross-currency swaps as Euribor sinks
Cheaper swaps are encouraging some companies to chase lower debt costs
Pension funds sign hedge-only agreements with banks
Cardano and PGGM promise not to give banks speculative trades
Goodbye Sonia flat: banks rethink swaps with bond collateral
Higher discount rate can cut payouts to in-the-money clients by millions
KVA: banks wrestle with the cost of capital
As the bank capital burden grows, dealers are trying to price in the associated costs
CVA switchback will hit bank capital ratios, EBA says
One bank faces 3% hit to equity ratio if EBA proposals accepted
Malaysia close to becoming a clean netting jurisdiction
Banks will save hundreds of millions of dollars in risk-weighted assets
Warehousing credit risk: pricing, capital and tax
Kenyon and Green model the effects to pricing of credit warehousing, capital and tax
FVA accounting, risk management and collateral trading
Albanese, Andersen and Iabichino present a method for accounting and risk managing FVAs
First shots fired in new EU battle over CVA
EBA says "not a viable option" to ignore charge; MEP Ferber warns on business impact
AAD vs GPUs: banks turn to maths trick as chips lose appeal
A maths trick is taking on – and beating – fancy chips as banks try to boost their computing power