Credit valuation adjustment (CVA)
Introducing the XVA desk - a treasurer's nightmare
Grand centralisation
KfW justifies exemptions from Emir
German government-owned development bank KfW managed to win an exemption from clearing and margin requirements under European derivatives regulation - a benefit not extended to its peers. Luke Clancy asks why
RVA proving a struggle for derivatives counterparties
In this video discussion, Duncan Wood, editor of Risk, talks to Nick Sawyer, Risk’s editor-in-chief, about attempts to price in a replacement valuation adjustment on derivatives trades
Deutsche Bank loses €94 million on CVA mismatch
Hedges worked as capital mitigant, but generated an accounting loss, bank says
VAR models need overhaul to apply CVA proxy rules, says EBA
EBA surprises industry with eleventh-hour guidance that spread simulations – not just initial levels – should account for rating, region and sector
Wrong-way risk, credit and funding
The risk of exposure and counterparty default probability both increasing – so-called wrong-way risk – is usually understood in terms of the correlation between the two variables. But this approach is focused more on the centre of the distribution, and…
No CVA exemptions in US Basel III rules
Europe isolated as US regulators opt for broad counterparty risk charge
The CVA helter skelter: European supervisors could quash exemptions
Europe’s credit valuation adjustment exemption was the outcome of a protracted legislative debate, but it may prove to be the end of a chapter, rather than the end of the story. As US banks protest and supervisors review the issue, a number of problems…
Backlash on the EU CVA exemption continues
The decision by European legislators to exempt EU banks from the CVA capital charge when trading with certain counterparties has infuriated regulators at home and abroad. Nick Sawyer discusses the issue with Duncan Wood
CVA exemption ignored in UK's capital shortfall exercise
Risk-weighted assets at Royal Bank of Scotland would have been £36 billion lower if exemption agreed earlier this year had been recognised
Bafin weighing CVA charge despite European exemptions
Supervisors ‘should accept the legislation that the council and the parliament in their wisdom have decided upon’, warns MEP
Prop trading no longer an option for dealers, says Masters
Commodity businesses must have broad client base to absorb increased regulatory costs, says JP Morgan commodities head
US expected to take third way on CVA charge
Federal Reserve will not mirror European exemptions but could instead modify treatment of CVA and market risk hedges, industry sources say
Risk Espana survey 2014: Spanish banks play catch-up as regulation looms
Respondents to Risk España’s survey expect to see declines in over-the-counter derivative volumes as a result of regulation and believe less than half the OTC market’s total notional value will be eligible for clearing
DBS: Asian backlash over regulatory fragmentation
The crisis did not start in Asia, but Asian countries have been among the first to implement the resulting capital and liquidity regime – while the US and Europe have yet to move. The result is an unlevel playing field, says Elbert Pattijn, chief risk…
Flexible technology needed to respond to regulatory change, says Fincad
Regulatory change will force firms to alter their behaviour, and their technology platforms need to keep pace
CVA exemptions should be rolled out globally – Risk.net poll
Three quarters of survey respondents believe regulators should copy the European Union’s CVA exemptions for trades with corporates, pension funds and sovereigns
Bilateral CVA of optional early termination clauses
Bilateral CVA of optional early termination clauses
Cross-currency flap leaves cloud over IFRS 9
Purely hypothetical
Pressure grows for US to copy EU’s CVA exemption
Bill calls for FSOC to analyse impact on US of EU exemption as corporates press for a carve-out
Cutting Edge introduction: CVA for CDSs
Counterparty risk is generally thought of at a portfolio level, but understanding how a particular payout interacts with credit and debit valuation adjustments could help banks make business decisions. Laurie Carver introduces this month’s technical…
Legal clouds hang over RWA-driven netting push
New capital requirements are making it more difficult for banks to trade with counterparties that are not covered by a netting opinion. That is spurring attempts to expand coverage, but can leave banks and lawyers on uncertain ground. By Lukas Becker