Credit valuation adjustment (CVA)
Revised Basel output floor could hit US banks after all
Fall in operational risk weights could push up capital requirements for market and credit risk
Reducing noise is as important as radical change
Quants study ways to reduce noise in XVA Greeks calculations
Pathwise XVA Greeks for early-exercise products
The calculation of XVA Greeks for portfolios with early-exercise products is discussed
CVA dismay: final Basel rules disappoint dealers
Minor tweaks don’t make up for removal of internal modelling, say banks
CVA pay day: calculation arbitrage boosts bank profits
Lack of convergence allows some banks to benefit from an arbitrage between booking and pricing the adjustment
Derivatives pricing under bilateral counterparty risk
The authors consider risk-neutral valuation of a contingent claim under bilateral counterparty risk using the well-known reduced-form approach.
Calibrating Heston for credit risk
Marco de Innocentis and Sergei Levendorskiĭ describe a faster and more accurate method for market-implied calibration of the Heston model
On the correlation and parametric approaches to calculation of credit value adjustment
This paper develops a connection between the Hull–White parametric approach and the PCL correlation approach for CVA calculation.
Capital savings from new IM regime elude dealers
Slow model development and approval processes mean banks yet to see benefits expected under margin rules
Banks say Europe’s CVA proxy-spread plans lack flexibility
Dealers welcome EBA proposals but say limited number of eligible counterparties means few benefits
Japanese banks eye phased CVA introduction
Working group reports “growing need” for valuation adjustment but cherry-picking fears persist
Mnuchin makes life harder for quants
Proposed CCAR changes make KVA calculations even more complex
Margin settlement risk and its effect on CVA
Sponsored feature: CompatibL
XVA reaches far and wide
Sponsored Q&A: CompatibL, Murex and Numerix
Buy side unimpressed with Mifid II cost transparency rules
Clients question value of receiving dealers’ swaps profit margin data
Rethink urged over Basel’s counterparty exposure framework
Industry calls for softening of SA-CCR amid claims it could lead to doubling of calculated exposures
A sound modelling and backtesting framework for forecasting initial margin requirements
Anfuso, Aziz, Loukopoulos and Giltinan propose a method to develop and backtest forecasting models for IM
European banks tire of CVA guessing game
Continued political wrangling over Europe’s CVA exemption increases uncertainty for dealers
EU capital revamp paves way for corporate CVA charge
Draft directive offers national regulators power to override controversial exemption
EBA shelves CVA charge plans after twin defeats
Ongoing rule changes at Basel and EU could allow future bid to end corporate exemption
Q&A: EBA’s Vaillant on Basel IV, FRTB and CVA
Authority’s “key goal” in Basel talks has been to defend risk-sensitive capital framework
Japan CVA shift may break local banks’ swaps stranglehold
Introduction of pricing adjustment could see foreign banks compete for corporate business
‘A choreographed ballet’: academics attack CVA
Derivatives add-on rubbished by Cont and Rebonato