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Credit Valuation Adjustment(CVA)

Risk Training: XVA, Credit, Funding and Capital Valuation Adjustments

May 24, 2017

Date: 27th - 28th June 2017

Location: Downtown Conference Centre, New York

FRTB: Strengthening Market Risk Practices? - Webinar

January 2, 2017

Date: 25th January, 2017

Time: 3pm GMT / 4pm CET / 10am EST

Basel Moves to Limit Banks’ Use of Risk Models

March 30, 2016

In another step toward shoring up the financial system, global banking regulators have proposed limits on banks’ use of internal risk models to calculate how much risk they can take.

Complexity increases: Managing counterparty credit risk in the swaps market

March 2, 2016

The OTC derivatives market has seen several defaults in the past two decades, each of which has led to a rethink of industry practices. Nowhere is this more evident than in the evaluation of counterparty credit risk, with processes that are now unrecognizable from those of the 1980s and 1990s, when this type of risk wasn’t even factored into swap pricing. 

Impact of the New CVA Risk Capital Charge - Webinar

February 26, 2016

Date Tuesday 17th February

Time:  15.00 BST 

Energy firms scrutinise counterparty risk

September 18, 2015

Energy firms are ramping up their use of credit default swap pricing information to more closely monitor counterparty credit risk as slumping commodity prices pile pressure on credit profiles across the sector.

Global regulators propose tighter credit risk rules for banks

July 3, 2015

During the financial crisis some banks suffered big losses on their derivatives contracts due to weaker creditworthiness at banks on the other side of their trades. The value of derivatives had to be written down when it became obvious that counterparties may not meet their obligations.

Review of the Credit Valuation Adjustment (CVA) risk framework - consultative document

July 1, 2015

The Basel III capital framework already establishes a minimum capital charge to capture the potential mark-to-market losses faced by a bank from the deterioration in a counterparty's creditworthiness. This capital treatment addresses any variability in CVA that arises due to changes in credit spreads but does not take account of variability arising from daily changes in market risk factors (ie account exposure variability).

Implementation of CVA and DVA can help manage credit risk

April 23, 2015

The International Financial Reporting Standards (IFRS) are changing banking regulations to encourage corporates to apply Credit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA) to their operations in order to focus on incorporating credit risk in financial instrument valuations.

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