Margin valuation adjustment (MVA)
Evolutionary algos for optimising MVA
Alexei Kondratyev and George Giorgidze apply two evolutionary algos to MVA optimisation
Capital savings from new IM regime elude dealers
Slow model development and approval processes mean banks yet to see benefits expected under margin rules
All MVA needs is a first-mover
Fair value adjustment for initial margin should be reflected in accounting statement
Accounting for initial margin under IFRS 13
Chris Kenyon and Richard Kenyon show why initial margin should be part of the fair value of a derivative
Mnuchin makes life harder for quants
Proposed CCAR changes make KVA calculations even more complex
Accelerated MVA in triCalculate
Sponsored feature: NEX TriOptima
Margin settlement risk and its effect on CVA
Sponsored feature: CompatibL
XVA reaches far and wide
Sponsored Q&A: CompatibL, Murex and Numerix
TriOptima adds MVA calculations to XVA service
Three firms have signed up to use the tool, which calculates MVA across 100,000 scenarios
Banks seek escape from inter‑affiliate margin burden
Internal transactions contributing “substantial” amount of banks’ initial margin requirement
Academics warn against overuse of machine learning
Lack of data makes AI technology unsuitable for risk management, say Cont and Rebonato
UK banks face increased XVA burden after ring-fencing
Funding spreads to raise FVA and MVA; netting splits to hit CVA
XVA at the exercise boundary
Andrew Green and Chris Kenyon show how the decision to exercise an option is influenced by XVAs
FVA: off the mark
With adjustments to increase, Darrell Duffie says dealers should improve weak valuation practices
Banks and clients clash over novation MVA charges
Some banks swallowing new margin funding costs, others forcing clients to pay up
OTC market resisting swap futures threat
Swap futures yet to break out, but backers see margin, accounting and Citadel as tailwinds
Clients should prepare to pay MVA costs, say dealers
Risk USA: Banks say new trades and novations create real funding costs
CME set to clear CMBX index swaps
Product to clear next year amid fears of falling liquidity from new non-cleared margin requirements
Banks warn prime brokerage clients of ‘material’ MVA costs
Some buy-siders reassessing relationships as a result
Risk optimisation: the noise is the signal
Benedict Burnett, Simon O’Callaghan and Tom Hulme introduce a new method of optimising the accuracy and time taken to calculate risk for an XVA trading book. They show how to make a dynamic choice of the number of paths and time discretisation focusing…
MVA: swaps scale new heights in complexity
Banks are turning their attention to calculating a new derivatives valuation adjustment
Dealers wake up to MVA impact of new funding rules
NSFR will force dealers to term-fund initial margin at a time when margin volumes are climbing
Time to gear up for MVA
Banks must be prepared for the looming rise of non-cleared margin requirements