Credit valuation adjustment (CVA)
South African corporates expect to sign CSAs
Power giant Eskom and South African Airways want to cut hedging costs
Supervisors slam banks over 'top 20' counterparty results
After five years of work, a group of 19 big banks still get a failing grade from supervisors on their ability to pull together and report counterparty exposures. Is it all a question of cost? Fiona Maxwell reports
Options cutting costs for some cross-currency swaps
Dealers found a way to protect some cross-currency swaps from heavy new capital requirements last year, by adding foreign exchange options into the structure – but the powers of the technique are limited. Matt Cameron reports
Systematic risk factors redefined
Credit risk factor models tend to have a narrow focus on the Gaussian case, use copula functions that don’t work well with the martingale methods used in pricing, and can introduce arbitrage. Dariusz Gatarek and Juliusz Jablecki show how an increasing…
Risk management system of the year (vendor): Markit Group
Capital and funding efficiency is a new discipline for derivatives desks, and there is a shortage of comprehensive systems - so Lloyds Banking Group teamed up with Markit to build one
Vague Volcker causes confusion
Vague Volcker bemuses
Oil majors step up commodity derivatives market making in Asia as banks cut back
Handicapped by tighter regulations, banks have ceded derivative market-making share to oil majors such as BP and Shell
CVA desks could struggle with Volcker correlation tests
Banks turn to lawyers for advice as CVA functions face tougher conditions than other trading desks
Op risk, FVA and OIS - Risk.net’s top stories of 2013
Operational risks, funding valuation adjustment and the money made by one dealer in the early days of OIS discounting – the top stories of the year on Risk.net
India private sector banks start signing CSAs
Rising costs and flexible collateral approaches overcome India resistance to CSAs
Risk technology rankings 2013: Regulatory revamps
Adapt and comply
Funding strategies, funding costs
Funding strategies, funding costs
ROE hurdles cause pricing impasse
In the Basel III world, traders know their business must deliver a target return on equity, or risk being shut down – but working out the capital cost, or benefit, of a trade at inception is so difficult that banks only have approximations to guide them…
Initial margin to significantly impact development of Asian derivatives markets: Asifma
Asifma head Austen wants exclusion of initial margin from Asian jurisdictions’ derivatives market regulation
Osfi copies US CVA charge to protect Canadian banks
Canadian regulator wants its banks to compete on same terms as US rivals
Cutting Edge introduction: systematic systematic factor models
Credit factor models tend to obscure the economics in favour of tractability – and this puts them at odds with rigorous arbitrage-free martingale pricing methods. To resolve this, quants are looking more closely at what a systematic risk factor actually…
Capital or P&L? Deutsche Bank losses highlight CVA trade-off
Critics of Basel III’s credit valuation adjustment (CVA) capital charge have long warned it would produce perverse incentives. Now, in the form of a string of quarterly losses in Deutsche Bank’s CVA hedging programme, they believe they are being proved…
Pooled fund clearing questions vex CVA desks
Dealers and pension funds still waiting for clarity on whether hedging vehicles are covered by Europe's swap clearing exemption
Deutsche Bank's €94 million CVA loss was "good business", dealers say
Big loss was accompanied by even bigger capital saving, traders point out. Other banks now working out their own policy on controversial capital charge
Banks put ‘lazy’ assets to work in first initial margin agreements
Banks tout 'tremendous' capital savings as Bank of America, Barclays, Citi and other swap dealers start using illiquid assets as initial margin
The law of one price is gone
Sponsored statement: Absa
Energy Risk Europe: Questions over benefits of CVA for energy firms
Lack of credit team or CVA desk might make use of measure counterproductive, panellists worry
Cutting Edge introduction: pricing the CVA doom loop
Pricing the CVA doom loop
Capital relief accounts for 70% of some CDS spreads, quants say
New research sheds light on implications of product's role as regulatory capital hedge