Credit valuation adjustment (CVA)
FVA accounting, risk management and collateral trading
Albanese, Andersen and Iabichino present a method for accounting and risk managing FVAs
First shots fired in new EU battle over CVA
EBA says "not a viable option" to ignore charge; MEP Ferber warns on business impact
AAD vs GPUs: banks turn to maths trick as chips lose appeal
A maths trick is taking on – and beating – fancy chips as banks try to boost their computing power
In-house system of the year: Danske Bank
Risk Awards 2015: CVA in 10 seconds on a MacBook Pro – Danske can do it
Quants of the year: Christoph Burgard and Mats Kjaer
Risk Awards 2015: Barclays quants put FVA on solid ground
Sovereigns facing price hike if CVA exemption is axed
EBRD says impact would be minimal, but experts warn other swaps users would be hit
Corporate CVA exemption should be removed, says EBA
Short-term capital surcharge mooted in addition to longer-term reform
EU corporates ready for a fight over CVA exemption
Findings of EBA review to be discussed on December 5
KVA: capital valuation adjustment by replication
KVA are introduced to take into account the effect of capital on funding
CVA hedge losses prompt focus on swaptions and guarantees
Regulators and accountants don't agree on CVA but banks say smart hedges exist
Path-consistent wrong-way risk
A copula-based model for wrong way risk
Risk-neutral pricing – Hull and White debate Kenyon and Green
XVA specialists spark debate on regulation and risk-neutrality
Counterparty credit risk pricing and measurement of swaption portfolios
This paper introduces a technique for pricing and risk measurement of portfolios containing swaption contracts in the presence of counterparty credit risk, under general market model and volatility assumptions.
CDS de-correlation a threat to CVA hedging, traders warn
Fears relationship between credit indexes and constituents becoming more tenuous
South Africa's Eskom ends CSA flirtation
No obvious benefit to posting collateral, says company's treasurer
No arbitrage: New rules make markets 'less efficient'
Indexes may be less effective hedges in absence of arbitrageurs
How to hedge CVA without being hurt
A new product could smoothe the gap between capital and accounting rules
UK utilities weigh creative inflation-hedge revamps
Yorkshire Water among the firms said to be considering inflation repacks
A credit value adjustment scheme for bank loan portfolios
In this study the authors develop an analytical scheme that integrates a large spectrum of typical bank loans and credits, accommodates common bank loan portfolio chronological interdependencies and allows the necessary credit value adjustments (CVAs)…
Trends in risk management
Sponsored survey analysis: SunGard
Corporate hedgers fear OTC liquidity drain
End-user exemptions could prove Pyrrhic victory, says treasury head
The black art of FVA, part II: Conditioning chaos
Banks under pressure to join JP Morgan and others that have embraced FVA - but complexity is huge and consensus elusive