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A common theme emerged on the first day at the Global Derivatives Trading and Risk Management Conference. CVA, DVA and FVA (but also a number of other components) have found their way into pricing and valuation models of financial institutions after the financial crisis of 2008.

After a macro-economic assessment by David Nowakowski of Roubini Global Econmics, which drew a somewhat grim picture with especially China being in slow-down, famed John Hull took up the stage to speak about the implicati

Syndicated Content Originally Posted on the Numerix Blog

http://blog.numerix.com/public/2012/10/a-new-quantitative-approach-advanced-exposure-and-cva-for-exotic-and-vanilla-instruments.html

By now, we all realize that financial practitioners around the globe are facing increasing challenges when it comes to computing complex risk and credit exposure calculations for both their exotic and vanilla derivative instruments. Given all we've learned about the importance of calculating counterparty risk p

Syndicated Content from the Numerix Blog - Find Original Post Here

Maturity across the Counterparty Credit Risk (CCR) and Credit Valuation Adjustments (CVA) space varies greatly across the industry. Our recent survey provided some interesting insights as to whether banks are ready for CCR and CVA under Basel III, thanks to detailed responses from our clients and academic participants.

We found that there are clear differences of opinion between academics and practitioners particularly when it comes to Basel III readiness for CCR. The same is reflected with rega