Credit valuation adjustment (CVA)
Risk Espana survey 2014: Spanish banks play catch-up as regulation looms
Respondents to Risk España’s survey expect to see declines in over-the-counter derivative volumes as a result of regulation and believe less than half the OTC market’s total notional value will be eligible for clearing
DBS: Asian backlash over regulatory fragmentation
The crisis did not start in Asia, but Asian countries have been among the first to implement the resulting capital and liquidity regime – while the US and Europe have yet to move. The result is an unlevel playing field, says Elbert Pattijn, chief risk…
Flexible technology needed to respond to regulatory change, says Fincad
Regulatory change will force firms to alter their behaviour, and their technology platforms need to keep pace
CVA exemptions should be rolled out globally – Risk.net poll
Three quarters of survey respondents believe regulators should copy the European Union’s CVA exemptions for trades with corporates, pension funds and sovereigns
Bilateral CVA of optional early termination clauses
Bilateral CVA of optional early termination clauses
Cross-currency flap leaves cloud over IFRS 9
Purely hypothetical
Pressure grows for US to copy EU’s CVA exemption
Bill calls for FSOC to analyse impact on US of EU exemption as corporates press for a carve-out
Cutting Edge introduction: CVA for CDSs
Counterparty risk is generally thought of at a portfolio level, but understanding how a particular payout interacts with credit and debit valuation adjustments could help banks make business decisions. Laurie Carver introduces this month’s technical…
Legal clouds hang over RWA-driven netting push
New capital requirements are making it more difficult for banks to trade with counterparties that are not covered by a netting opinion. That is spurring attempts to expand coverage, but can leave banks and lawyers on uncertain ground. By Lukas Becker
Europe goes its own way on CVA
Europe goes its own way on CVA
European CVA rules put Asia banks at disadvantage
Competitive disadvantage
Wrong-way risk, credit and funding
The risk of exposure and counterparty default probability both increasing – so-called wrong-way risk – is usually understood in terms of the correlation between the two variables. But this approach focuses more on the centre of the distribution. This…
Asia corporates unfairly ‘penalised’ by CVA capital charge
The move by European authorities to exempt European banks from holding CVA capital should be matched by regulators in Asia, according to senior bankers in the region
Chip and win: Banks expand use of GPUs
As computational demands on banks have increased, some have turned to powerful graphics processing units, but these were initially applied at the transaction pricing level. Now, they are starting to cover portfolio valuations and other enterprise-level…
CDSs, CVA and DVA – a structural approach
CDSs, CVA and DVA – a structural approach
Breaking break clauses
Breaking break clauses
Risk Annual Summit: CVA exemptions could backfire, panel warns
Hedges will attract capital instead of providing capital relief, argues Citi exec
Europe edges towards three-pronged CVA exemption
CRD IV set to exempt trades with corporates, sovereigns and pension funds
CVA proxying: Nomura's alternative to "flawed" EBA method
A cross-section for CVA
Proxy war: Shrinking CDS market leaves CVA and DVA on shaky ground
Runaway adjustments
Cutting Edge introduction: Wrong-way risk and the limits of correlation
Traditional models for wrong-way risk focus on the correlation between default and exposure – a blunt tool for a tail risk. Alternatives are thin on the ground, but a scenario-based approach may provide some fresh insight. Laurie Carver introduces this…