According to the vendor, the new module is an extension of Algorithmics' Algo Counterparty Credit Risk offering, which allows institutions to measure unilateral and bilateral credit valuation ...

Gerard Frewen, XVA Product Manager at Bloomberg, was interviewed by Alison Fletcher, a corporate treasury market specialist at Bloomberg LP, on increased interest in different valuation adjustments ...

The financial crisis shined a spotlight on banks’ credit valuation adjustment risk, which brought about $43 billion in losses across 10 banks between 2007 and 2009 according to one estimate. Giulio ...

The Basel Committee on Banking Supervision has published final revisions to the credit valuation adjustment risk framework under the Basel III standards. The updated international standard sets out ...

So, here we go again – it’s the return of credit valuation adjustments (CVAs) and debit valuation adjustments (DVAs). In October and November, Euromoney pointed out how Wall Street’s largest ...

The European Banking Authority (EBA) this week published its final draft Regulatory Technical Standards (RTS) to establish criteria for assessing the materiality of Credit Valuation Adjustment (CVA) ...

The Basel Committee on Banking Supervision has published a consultation paper seeking feedback on its final amendments to the credit valuation adjustment risk framework set out under the Basel III ...