Valuation adjustments (XVAs)
WHAT IS THIS? The XVAs are a family of adjustments that can be made to the price of a derivatives trade, reflecting counterparty risk (CVA), own-default risk (DVA), funding (FVA), capital (KVA) and margin (MVA). Their theoretical roots and practical implementation are still debated, but pragmatism also matters: banks that ignore XVAs are at risk of mispricing a trade; banks that include them are at risk of never winning a trade.
Banks take flexible approach to pricing netting risks
Dealers are adjusting CVA prices, depending on their view of the legal netting opinion
MVA: swaps scale new heights in complexity
Banks are turning their attention to calculating a new derivatives valuation adjustment
Lloyds' CVA head exits for JP Morgan
Julian Keenan leads Asia credit portfolio trading at the US bank
Netting risks create pricing and operational headaches
Oversight of legal risks is not always robust
Details of vital FRTB model test still up for grabs
Banks argue valuation adjustments should be left out of the model approval process
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
Senior quant Green swaps Lloyds for Scotiabank
Green to lead development of new XVA pricing model at Canadian lender
Time to gear up for MVA
Banks must be prepared for the looming rise of non-cleared margin requirements
CVA desks suffer Brexit double whammy
Cross-gamma losses estimated at more than $25m for each dealer
On derivatives and quants
Alexander Lipton on how the role of quants is adapting to the new financial environment
Futureproofing risk management
Sponsored Q&A: Numerix
Structured products: The new value chain
Sponsored Q&A: Murex
Standardised CSAs: no longer a matter of choice
Dealers again seeking simpler terms after 30% drop in non-cleared notionals
Risk España Rankings 2016
Global banks advance in the scramble for supremacy
Hidden floor: dealers tackle negative rate CSA headaches
Banks pushing clients to remove costly interest rate floors in collateral agreements
Strength turns to weakness for old OTC market
Non-cleared notional falls $36 trillion as costs and complexity grow
'Cherry-picking' claims fly in CSA rate floor negotiations
Traders accused of self-interest in negative rate floor discussions
Accounting – a quant's job?
Quants have a new interest - developing accounting frameworks
Banks pitch auto-resetting CSAs to cut leverage ratio and XVAs
Regular settlement of margin would reduce swaps' residual maturity
XVAs: a gap between theory and practice
Hull and White see splits on FVA, MVA, KVA as irreconcilable
European dealers wrestle with corporate CVA changes
Banks say prices already diverging; CDS market could be impacted
Traders shocked by $712m CVA loss at StanChart
Bank’s new methodology has been used by some rivals for more than a decade
New research shows FVA is not part of P&L – Duffie
Pricing experts defend practices that resulted in huge FVA losses
KVA pushes accounting standards to the limit
Radical changes needed if banks are to account for cost of capital