Debit valuation adjustment (DVA)
Banks criticise plan to deduct DVA from equity capital
Comment letters from Isda and Bank of Montreal argue Basel Committee proposal on DVA deductions goes too far
Basel DVA capital deduction could cost banks billions
Billions of dollars in capital could be excluded under Basel proposals on derivatives DVA - with US banks hardest hit
Quants call for Isda to clarify close-out values
Leading quants highlight ambiguity in Isda master agreement - but warn that resolving the issue could worsen systemic risk
Cutting Edge introduction: clarity needed on credit adjustments
Credit and credibility
Close-out convention tensions
Close-out convention tensions
Funding cost adjustments for derivatives
Funding cost adjustments for derivatives
Cutting Edge introduction: the DVA debate
The DVA debate
In the balance
Christoph Burgard and Mats Kjaer discuss the relationship of the funding cost adjustment to the balance sheet