Credit valuation adjustment (CVA)
JP Morgan’s CVA charge jumps $203m in Q3
Median CVA capital charge for US G-Sibs was $2.1bn in third quarter
ING reaps third-quarter CVA capital savings
Intesa and Caixabank also see CVA charges decline
StanChart CVA charge jumps 161% in Q3
Charge rises to $99 million in three months to end-September
Brexit set to jack up banks’ capital costs
Split into UK and EU arms will reduce netting benefits and capital flexibility
Quant of the year: Alexei Kondratyev
Risk Awards 2019: A glimpse of the future? Quant uses ML to model term structure and crunch margin costs
Basel III: EU G-Sib capital requirement to jump 25%
Basel III output floor will add 5.4% to minimum required capital
UK banks build up risk in Q2
Total RWAs were up £57 billion, from £2.89 trillion to £2.94 trillion
CVA capital at top UK banks falls £260m in H1
HSBC led the way with a 38% reduction, followed by RBS with a fall of 35%
CVA gain bolsters JP Morgan trading revenues
$302 million of first half trading revenues attributed to credit valuation adjustment
Staying alive: the EU’s stubborn CVA exemption
Delayed Pillar 2 capital charge could help US banks take EU market share in corporate hedging
Q&A: French regulator defends bank rules for prop traders
ACPR official wants to set asset threshold for full CRR application below current €30 billion
CVA pricing for commodities with WWR
A calculation of CVA integrating a commodity futures exposure with probability of an event under WWR and credit downgrades
UK banks ramp up market risk
Market RWAs up £18 billion in first quarter
Ring-fencing to starve investment banks of deposit funding
BoE data estimates non-ring-fenced banks will have access to just 4% of household deposits
Swap spreads halve as dealers fight for corporate market share
US bank push, rate movements and evolving market practice driving spreads to “suicidal” levels
XVA swings boost US bank trading revenues
DVA change pares down dealers' derivative liabilities
US CVA charges over seven times higher than EU
Huge disparity appears to result from EU exemption for corporate trades
JP Morgan counterparty credit risk grows
Risk-weighted assets consumed by least-risky counterparties decline from 57% to 36% in two years
EU banks’ CVA capital to triple if exemptions axed
Seven banks would incur 200bp-plus hit to capital if long-standing waivers were repealed, says EBA
Top UK banks slash CVA capital charges by £680 million
Hedging, market movements, and cuts to exposures behind reductions
XVA: back to CVA?
Fundamental questions on CVA remain unanswered, writes mathematical finance head
A copula approach to credit valuation adjustment for swaps under wrong-way risk
This paper deals with the credit valuation adjustment (CVA) of interest rate swap (IRS) contracts in the presence of an adverse dependence between the default time and interest rates: so-called wrong-way risk (WWR).