CVA

The Basel III CVA deadline is fast approaching. Denny Yu, product manager of Risk for Numerix, explains the quantitative and technological challenges firms face in CVA implementation for both vanilla and exotic derivatives, and the key differences between the standard and advanced approaches for CVA calculations under the Basel III framework.

Quantifi, a leading provider of analytics and risk management solutions to the global OTC markets, today announced first-to-market support for Funding Valuation Adjustments (FVA) as part of its latest Version 10.2 release. This enhancement allows firms to accurately measure the effect of funding costs on the valuation and risk management of OTC derivative portfolios.

Analyzing the Impact of European Sovereigns’ Collateral Policies

The Association for Financial Markets in Europe (AFME), the International Capital Market Association (ICMA) and the International Swaps and Derivatives Association, Inc. (ISDA) today announced the publication of a paper titled The Impact of Derivative Collateral Policies of European Sovereigns and Resulting Basel III Capital Issues.

Algorithmics, the leading provider of risk solutions, announced today that Société Générale Corporate & Investment Banking (SGCIB) has chosen to work with Algorithmics, to develop a counterparty credit valuation adjustment (CVA) solution that the CVA desk will use to actively price and manage counterparty credit risk (CCR) across all asset classes.

Summit achieves record attendance, drawing participation from 15 of the top 25 banks

QuIC Financial Technologies, a market leader providing the world’s financial organisations with risk management, pricing and analytic solutions, is pleased to announce the success of their recent CVA Summit held in London. The summit was held in conjunction with ICAP – the world’s premier interdealer broker – and featured presentations from expert CVA Consultant Robert McWilliam and Andy Shaw, Managing Partner of LINKS Risk Advisory.

Summit achieves record attendance, drawing participation from 15 of the top 25 banks

Nick Newport of InteDelta explains current trends in managing credit valuation adjustments and the potential use of CVA beyond its traditional risk mitigation purposes.

Q. How developed and embedded has the concept of credit valuation adjustment (CVA) become within financial institutions?

In-depth industry interviews reveal evolving approaches for pricing and managing counterparty risk

The market volatility experienced during the crisis has forced financial institutions to reassess their traditional approach to counterparty credit risk. Many banks have moved beyond the control mindset of credit limits to dynamically pricing counterparty credit risk (CCR) directly into new trades using Credit Value Adjustment (CVA) to price the counterparty risk.