Credit valuation adjustment (CVA)
Basel trading book review delayed
Fundamental review of Basel trading book rules may not begin in earnest until March 2012
Credit Risk USA: Basel trading book regime attacked by dealers
CVA charge and Basel 2.5 rules incoherent and over-complicated, say dealers
Isda to review close-out value definitions
Absence of a standard approach is stifling attempts to value termination clauses, dealers complain
Technology Innovation
Technology Innovation
CVA's cousin: Dealers try to value early termination clauses
Adjustment anxiety
CVA hedging: a false sense of security
Quo vadis, CVA?
Basel III charge could spur interest in CCDS
Development of CCDS could be pushed ahead by Basel III CVA charge, suggest market participants
Irish debt office agrees to collateralise derivatives
The NTMA follows Portugal's debt office in adopting two-way collateralisation - but unlike Portugal it appears it will have to post cash
Perverse capital
Perverse capital
Sovereign volatility puts Basel III CVA charge in spotlight
Basel III feedback loop between CDS spreads and CVA capital requirements worries dealers, following month of huge sovereign spread moves
Counterparty risk capital and CVA
Counterparty risk capital and CVA
CVA charge will hit sovereign exposures
Adjusting to change
BAML's Lipton: discrete models essential to cut CVA computation costs – Video
Top quant says a CVA model that is 80% accurate but takes 20% of the time is "very attractive"
RBS expands CVA quant team
RBS adds former Barclays Capital and Lehman quant to help build firm-wide CVA model
Dealers push for further CVA amendments under Basel III
Adjusting the adjustments
Supervisors seek to manage shadow banking risks
Chasing shadows
Industry models not sufficiently developed to calculate CVA charge, says Basel Committee
Basel Committee sticks to its decision not to allow banks to use their own models to calculate the CVA capital charge under Basel III
Impact of regulatory reform only 50% understood, warns KPMG's Topping
A substantial amount of the regulatory reform sweeping the US and Europe is still little understood and Asian institutions have yet to get to grips with the full impact of these changes, say speakers at industry event in Hong Kong. Intra-day data and new…
Technology innovation of the year
Technology innovation of the year
Supervisors on the tracks of shadow banks
Chasing shadows
Quants continue to criticise counterparty risk measures
Adjusting the adjustments
Risk Europe: Tweaks to Basel III will raise deadline pressure for banks
Changes to the detail of Basel III will make timely implementation a challenge, say attendees at Risk Europe
Risky funding with counterparty and liquidity charges
Risky funding with counterparty and liquidity charges
Funding and pricing OTC derivatives proves treacherous in Australia
Treacherous path ahead