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 ...

Sell-Side Technology's sibling publication Risk recently posed the question: Are there no more heroes in quantitative finance? Much of the debate surrounds a calculation for derivatives called credit ...

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 ...

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 ...

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 ...