Credit valuation adjustment (CVA)
Traders close ranks against FVA critics
Traders v. theorists
Putting the fun in funding valuation adjustment
The fun of FVA
Regulation to hit bank profitability - Risk survey
Dealers expect new rules to hit the profitability of their business, but fewer expect to be able to pass the costs along – and more are anticipating a big drop in OTC trading volumes
Asian values – Aaron Woolner column
Asian values
Asia dealers question applicability of CVA to region’s markets
Questionable values
Model foundations of Basel III standardised CVA charge
The credit valuation adjustment (CVA) capital charge in Basel III comes in two flavours: advanced (simulations) and standardised (formula). In this article, Michael Pykhtin shows that the standardised CVA charge formula can be obtained by adding several…
Technology: Cloud on the horizon?
Cloud on the horizon?
Credit Suisse: Algorithmic gymnastics
Algorithmic gymnastics
Risk 25: How Basel III is turning borders into barriers
Turning borders into barriers
Risk 25: Banks prepare for a low-RWA future
Weight loss: preparing for a low-RWA future
Risk 25 firms of the future: Misys
Making technology cheaper
Risk 25 firms of the future: Murex
Industrial revolution
Risk 25: Technology vendors adapt their risk systems
Intelligent thinking for risk systems
Risk 25: The FVA debate
The FVA debate
Relief for dealers as Basel reins in capital for cleared trades
Basel Committee addresses long-standing complaints over default fund exposures and client clearing
Corporate deposits used as CVA mitigant
Banks looking to mitigate the new Basel III CVA capital charge – and using corporate deposits as collateral on derivatives is one option, says banker
Prices diverge as CVA exemption remains in limbo
Dealers face pricing headache as they wait to see whether Europe's version of Basel III will exempt corporate customers from the CVA capital charge
Cutting Edge introduction: The origins of the standardised CVA charge
The origins of CVA
Cutting CVA's complexity
Cutting CVA's complexity
Model foundations of the Basel III standardised CVA charge
Model foundations of the Basel III standardised CVA charge
Bank of England to post collateral in OTC derivatives trades
BoE thought to be the first major central bank to change policy on collateralisation as it seeks to reduce dealer funding charges
Risk institutional investor rankings 2012
Deutsche on top
Dealers pitch loan format for swaps as CVA dodge
Banks are offering to replicate the economics of OTC swaps in loan format - avoiding new capital and clearing rules
Corporate trades should not face CVA charge – Risk.net poll
Two-thirds of respondents think trades with corporates should be exempt from Basel III's CVA capital charge