Valuation adjustments (XVA)
WHAT IS THIS? The XVAs are a family of adjustments that can be made to the price of a derivatives trade, reflecting counterparty risk (CVA), own-default risk (DVA), funding (FVA), capital (KVA) and margin (MVA). Their theoretical roots and practical implementation are still debated, but pragmatism also matters: banks that ignore XVAs are at risk of mispricing a trade; banks that include them are at risk of never winning a trade.
XVA solution of the year: Numerix
Asia Risk Technology Awards 2019
First-half trading revenues at US G-Sibs increase by a third year-on-year
Income from interest rate exposures more than tripled on H1 2018, while equity revenues increased 17%
Podcast: McClelland on why you need a good MVA model
Numerix quant presents a model aimed at showing the total cost of a trade
Singapore banks begin to phase in XVA
DBS, OCBC and UOB start using valuation adjustments, but face hedging hurdles for CVA
CVA, debt raising said to drive SoftBank CDS trading
Volumes rise as tech giant’s debt spree forces banks to hedge their counterparty exposure
Japan’s megabanks begin pricing in CVA
Local firms align with foreign dealers to include counterparty credit risk in corporate swap quotes
StanChart's CVA charge triples year-on-year
Capital requirement hits $112 million at end-March
Sovereign swaps users should learn from Italy’s mistakes
Posting collateral is a cost debt offices must embrace, argues Stefania Perrucci
Central counterparty CVA
Matthias Arnsdorf proposes a method to calculate the counterparty risk related to CCP membership
Wells Fargo takes $112m CVA hit in 2018
Trading revenues decline $54 million overall through derivatives adjustments
Mizuho reveals $270m CVA loss
Further losses may be reported as bank refines its methodology, sources say
Functional programming reaches for stardom in finance
Fans highlight more reliable code, and suitability for complex tasks and distributed ledgers
triCalculate and Jon Gregory discuss the current state of play for XVA
An excerpt from a discussion between triCalculate's co-CEO, Martin Engblom, and XVA (valuation adjustment) expert Jon Gregory in which they discuss the current state of play for XVA. Our experts provide professional insight on topics such as credit…
Dawn of CVA threatens hedging woe for Japan banks
Japan’s thinly traded CDS market will make CVA hedging challenging, dealers say
CVA study highlights scale and causes of wrong-way risk
Researchers advise including correlations both with rate level and volatility in CVA calculations
Japan banks face huge CVA hit, dealers say
Revaluation of derivatives books likely to cause hundreds of millions in one-off losses
Technology vendor of the year: FIS Global
Risk Awards 2019: Software engineers respond to new challenges in traded risk
How banks can keep pace with XVA
The complexity of derivatives pricing has grown significantly in the past decade, with banks having to factor in a series of valuation adjustments to calculate the impact on their balance sheets. With budgets and resources under pressure, and traditional…
Risk Markets Technology Awards 2019: Vendors enter the pick-and-mix era
Modular tech and micro-services – plus new risk and regulatory needs – are creating openings for insurgents and incumbents
Quant of the year: Alexei Kondratyev
Risk Awards 2019: A glimpse of the future? Quant uses ML to model term structure and crunch margin costs
MVA: Forecasting initial margin for client trades and dynamic hedges
In its latest margin survey, the International Swaps and Derivatives Association reported that initial margin (IM) collected by the top 20 firms increased by 22% to $130.6 billion at the end of 2017. As new transactions become subject to IM requirements,…