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New developments in XVA: bank strategy in a changing world

Derivatives valuation has grown in complexity since the the financial crisis that began in 2007–08. It now encompasses a broader range of risk factors,

Florent kbodjedoViktor mofokengConnor campbell colemanPhilip hardingFlorent kpodjedoAllan cowanAbsa groupLloyds bankGroup corporate treasuryNational bankCredit suisseLloyds bank connorValley bankGroup corporateMarket intelligenceFundamental review

NY Fed paper warns of systemic risks from SOFR credit lines

Stress tests need to account for credit facilities being “drawn to the limit”, says Stanford’s Duffie

New yorkUnited statesFederal reserve bankStanford university darrell duffieStanford universityDarrell duffieNew york fedFederal reserve bank of new yorkNited states usRisk free rates rfrsCorporate loansFunding valuation adjustment fva

Crédit Agricole s XVA head departs

Laurent Chédin is leaving the banking sector; Mickael Crabos takes his place

Frederic meronMickael crabosMalcolm hibbertEric duclosCrédit agricoleAluation adjustments xvasCredit valuation adjustment cvaFunding valuation adjustment fva

FVA hedge omission from FRTB set to cause headaches

Lack of carve-out for market risk hedges could create hedging issues, experts say

United kingdomParibas cvajumpedNicki rasmussenStuart nieldDanske bankJp morganFundamental reviewTrading bookFunding valuation adjustment fvaAluation adjustments xvasOver the counter otc derivativesDerivatives pricingCredit valuation adjustment cva

Funding, wealth transfer and financial stability in the post-Libor era

Adjusting RFR with a funding premium may aid economic growth and stability

City ofUnited kingdomBurgard kjaerStefano iabichinoChristian kappenSilicon valley bank see miglioratoJp morgan chaseJp morganLondon interbank offered rateSecured overnight financing rateSilicon valley bankAcross the curve spread indexAmerican interbank offered rateWealth managementFinancial stabilityRisk free rates rfrs

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