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.
Traders blame bail-in for Deutsche CDS jump
Debt subordination behind spread widening from January; CVA desks may need to adjust hedge ratios
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
March margin deadline may force clients onto new CSAs
Dealers say they lack capacity to renegotiate thousands of existing collateral agreements
Managing the alphabet soup of XVAs
Sponsored webinar: Calypso and Quaternion
Dealers grapple with netting valuation adjustments
Some banks are expressing netting uncertainty as a fair value adjustment to CVA
Why not having AAD needn’t be the end of the world
Optimisation method offers quicker and more focused way of making XVA calculations
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…
The P&L attribution mess
FRTB model approval regime dogged by confusion and controversy
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