Credit valuation adjustment (CVA)
Europe goes its own way on CVA
Europe goes its own way on CVA
European CVA rules put Asia banks at disadvantage
Competitive disadvantage
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 focuses more on the centre of the distribution. This…
Asia corporates unfairly ‘penalised’ by CVA capital charge
The move by European authorities to exempt European banks from holding CVA capital should be matched by regulators in Asia, according to senior bankers in the region
Chip and win: Banks expand use of GPUs
As computational demands on banks have increased, some have turned to powerful graphics processing units, but these were initially applied at the transaction pricing level. Now, they are starting to cover portfolio valuations and other enterprise-level…
CDSs, CVA and DVA – a structural approach
CDSs, CVA and DVA – a structural approach
Breaking break clauses
Breaking break clauses
Risk Annual Summit: CVA exemptions could backfire, panel warns
Hedges will attract capital instead of providing capital relief, argues Citi exec
Europe edges towards three-pronged CVA exemption
CRD IV set to exempt trades with corporates, sovereigns and pension funds
CVA proxying: Nomura's alternative to "flawed" EBA method
A cross-section for CVA
Proxy war: Shrinking CDS market leaves CVA and DVA on shaky ground
Runaway adjustments
Cutting Edge introduction: Wrong-way risk and the limits of correlation
Traditional models for wrong-way risk focus on the correlation between default and exposure – a blunt tool for a tail risk. Alternatives are thin on the ground, but a scenario-based approach may provide some fresh insight. Laurie Carver introduces this…
Wrong-way risk, credit and funding
Wrong-way risk, credit and funding
SG plans to securitise €1.9 billion of derivatives exposure
Deal is said to pay a coupon of 11% for first-loss protection – which some investors say is too low
JSE eyes OTC market as it revamps futures clearer
South African futures CCP limits member liabilities
No exit: The problems facing UBS in its fixed income retreat
The stress of unwinding
Closing out DVA
Closing out DVA
Danish and Latvian debt offices move to two-way CSAs
Cheaper swaps prices have convinced two more DMOs to sign collateral agreements
A year of market movement and trading opportunities
Sponsored forum: US inflation derivatives
Closing out DVA
Closing out DVA
Replacing VAR, OIS discounting and the future of quant finance – the top stories of 2012
The Basel Committee’s proposal to scrap VAR and the move to OIS discounting struck a chord with Risk.net readers in 2012