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Derivative Pricing For FVA, CVA and Capital: So-Called XVA Adjustments

 

Since the onset of the financial crisis derivative pricing has undergone nothing short of a revolution. What was once simple is now extremely complex and banks need to adopt a whole range of new methodologies to remain competitive in the new environment. Effectively what we are talking about is a series of valuation adjustments that have come into place to reflect new or increased risks. Since it was included in the Basel regulation CVA the inclusion of credit risk in valuation has been an important topic for banks. As this grew more complex questions began to be asked about things like DVA. At the same time the Libor discounting rate that used to be used to discount derivatives was found wanting banks have had to come to grips with OIS discounting methodologies that are sensitive to credit and liquidity risk. This then led to CSA discounting, which explicitly related the changing value of the underlying collateral to the value of the derivative.

 


Location:
 M Hotel, Singapore
Country:
  Singapore
Start Date:
 Sep 01, 2014
End Date:
 Sep 02, 2014
Organizer:
 N/A
 
 


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