Credit valuation adjustment (CVA)
Best CVA practices in Japan
At a recent roundtable in Tokyo, banks and regulators discussed progress on credit valuation adjustment (CVA). While, in many respects, the work towards implementing best practices in the country is on track, challenges remain in resourcing and…
In the balance redux
Mats Kjaer developes a dynamic balance-sheet pricing model for valuation adjustments
UK banks accelerate RWA increases in Q2
Market and operational RWAs return to growth after shrinking in Q1
Basel III heralds wild CVA capital swings
Minimum required capital for CVA to climb 64% for large banks, but some banks will see falls of up to 67%
European FRTB proposals spark XVA overload fears
Banks warn of overly complex revaluation process and heightened risk of backtest fails
JP Morgan’s CVA charge jumps $249m in Q2
All US G-Sibs post higher CVA capital requirements for the quarter
Top UK banks cut CVA charges by 9% in Q2
Standard Chartered is only outlier among big five to see capital requirement rise
First-half trading revenues at US G-Sibs increase by a third year-on-year
Income from interest rate exposures more than tripled on H1 2018, while equity revenues increased 17%
Singapore banks begin to phase in XVA
DBS, OCBC and UOB start using valuation adjustments, but face hedging hurdles for CVA
Funding and credit risk with locally elliptical portfolio processes: an application to central counterparties
In this paper, the authors extend the scaling approach of Andersen et al (2017a) from a model driven by Brownian motion to one driven by an arbitrary isotropic Lévy process.
As revamp begins, Deutsche’s RWAs for CVA fall
Credit valuation adjustment RWAs down 30% year-on-year
Nordea’s CVA charge drops 34%
CVA requirements are at their lowest level since Q3 2018
UK bank RWAs inch up on credit and counterparty risk
Total RWAs stable year-on-year
CVA exemption in Basel III could save EU banks more than €18bn
Tweaks to op risk framework might reduce capital shortfall by €12.3 billion
Podcast: Gregory and Chung on wrong-way risk modelling
Quants discuss a better way to model wrong-way risk
Big banks to bear brunt of Basel III reforms in EU
G-Sibs short €82.8 billion of Basel III capital
CVA wrong-way risk: calibration using a quanto CDS basis
Tsz-Kin Chung and Jon Gregory calibrate wrong-way risk with the help of quanto CDS values
CVA, debt raising said to drive SoftBank CDS trading
Volumes rise as tech giant’s debt spree forces banks to hedge their counterparty exposure
Counterparty risk: credit valuation adjustment variability and value-at-risk
This paper proposes an efficient method to obtain the distribution of the CVA at a given risk horizon, from which risk measures such as the CVA VaR can be computed.
Banco Santander’s CVA charge drops 20% in Q1
Three EU G-Sibs cut capital requirements, three increase them
Default fund costs dominate US G-Sibs’ cleared swaps charges
Default fund contributions accounted for 62% of the eight banks’ RWAs
Japan’s megabanks begin pricing in CVA
Local firms align with foreign dealers to include counterparty credit risk in corporate swap quotes
Fed pushes big banks to calculate CVA for CCPs
Banks including JP Morgan and Credit Suisse told to quantify exposure to CCPs for annual stress tests
Morgan Stanley’s CVA charge swells 19% in Q1
Credit valuation adjustment capital charges have decreased at most G-Sibs year-on-year