Credit valuation adjustment (CVA)
Isda touts CSA standardisation in margining countdown
But scale of challenge becomes clear in early tussles between dealers and clients
Basel considered axing standardised approach to CVA calculation
Committee discussed axing standardised and basic approaches in recent months, sources say – but ruled out both
China rates swap prices diverge on spotty CVA practices
Most local banks not passing on capital charge to clients, say traders
Blueprint for FRTB: Building a future-state business strategy
Sponsored feature: Numerix
Path-consistent wrong-way risk: a structural model approach
The author of this paper presents a general and path-consistent wrong-way risk (WWR) model that does not require simulation of credit and market variables simultaneously.
Traders blame bail-in for Deutsche CDS jump
Debt subordination behind spread widening from January; CVA desks may need to adjust hedge ratios
Regulations, sensitivities and adjoints: Using AAD for FRTB and FRTB-CVA
Sponsored feature: CompatibL
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
Modeling joint defaults in correlation-sensitive instruments
This paper presents a simple model for joint defaults and shows how it can be applied to pricing and risk-managing instruments that are sensitive to credit correlation.
Banks fear costs from loss of AAD under simpler FRTB rules
Trading book regime may force use of more expensive and time-consuming ways of computing risk sensitivities
CVA models may miss half of true default risk
Benefits of initial margin also overstated, new research finds
Why not having AAD needn’t be the end of the world
Optimisation method offers quicker and more focused way of making XVA calculations
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
Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
In the paper, real-world and risk-neutral scenarios are combined for the valuation of the exposure values of Bermudan swaptions on real-world Monte Carlo paths.
CVA desks suffer Brexit double whammy
Cross-gamma losses estimated at more than $25m for each dealer
Futureproofing risk management
Sponsored Q&A: Numerix
Structured products: The new value chain
Sponsored Q&A: Murex
A bond consistent derivative fair value
This paper presents a rigorously motivated pricing equation for derivatives.
Basel Committee’s CVA shocker ignores trade-offs
Ditching own models for CVA risk is too binary and eliminates possibility of further dialogue
Dealers disagree over charge for CCP counterparty risk
Fed stress tests push US banks towards charging CVA for cleared derivatives