Credit valuation adjustment (CVA)
Continuing to rebuild
Degrees of influence
Risk Middle East Rankings 2010: Dealers adjust to new pricing realities
Globally, big derivatives dealers are making wholesale changes to their pricing practices, and the Middle East is no exception. Clients are also becoming more sophisticated, according to Risk’s first ranking of dealers in the region. Research by Ana…
Asia Risk Congress 2010: CVA ‘less relevant’ for domestic banks
Panellists discussing the finer points of credit valuation adjustment (CVA) at the Asia Risk Congress 2010 said despite all the current talk about CVA in the region, it may prove to be less relevant for Asian institutions compared with their…
Quant Congress Europe: Basel III CVA charge political, says Swiss regulator
Finma official hits back at industry criticisms of counterparty risk charge, but concedes political pressure to hurt OTC market is undeniable
Post-shock short-rate pricing
Post-shock short-rate pricing
Perfecting prices
Perfecting prices
Sponsored educational feature: Counterparty credit risk in portfolio risk management
Counterparty credit risk in portfolio risk management
2010 Asia Pacific CVA Forum: Singapore going live with CVA, Korea next?
Domestic banks in Singapore are starting to set up CVA desks at the behest of their regulator, but elsewhere in Asia there are significant obstacles to CVA
Coping with the new CVA challenges
Countering the credit challenge
Basel Committee under time pressure
Time is on the slide
CVA and the equivalent bond
CVA and the equivalent bond
Basel Committee to rethink CVA capital charge
Regulators might adapt the bond-equivalent approach amid claims the methodology will lead to perverse incentives
Basel Committee revises proposals for capital charge on counterparty risk
The Basel Committee on Banking Supervision has adapted its proposals for a capital charge on counterparty risk following industry feedback, but banks were hoping supervisors would go further. By Mark Pengelly