Credit Valuation Adjustments

Credit Valuation Adjustments

Market value of counterparty credit risk. In other words, Credit Valuation Adjustment is the amount by which the value of a credit security is adjusted downward because of the counterparty credit risk.
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KPMG AG Wirtschaftsprufungsgesellschaft (KPMG) has chosen to use SunGard s Adaptiv Analytics to help provide its clients with assessments of credit valuation adjustments (CVA) and to support their use of simulation-based approaches to compute derivatives exposures for internal risk steering and regulatory capital calculations.
Traders may optimize their portfolios based on market movements, but risk managers are monitoring and orchestrating limit checks, quantifying liquidity and funding ratios, and calculating the challenging profitability formulas, such as credit valuation adjustments and funding cost adjustments, as well as debt valuation adjustment and funding cost benefits.
1 billion gain from so-called credit valuation adjustments, an accounting rule that requires banks to book losses when the value of their debt rises and gains when it declines.
Risk management The ability to re-assess counterparty risk on a near real-time basis and make appropriate credit valuation adjustments (CVA) across client and counterparty portfolios will be essential to improving margin and threshold management, handling of concentration risks and identify trading opportunities.
Valuations - Leverages Chatham Financial's sophisticated credit valuation adjustments (CVAs) to ensure independent values reflecting the market in real-time
Among other factors, net trading income made no profit contribution because of IFRS guidelines relating to credit valuation adjustments on derivatives (around minus 30 million).
The use of such one-way collateral arrangements creates credit exposure in the banking system, in the form of credit valuation adjustments (CVAs), and significant liquidity issues for the dealer community.
2 billion operating loss in the fourth quarter of 2008 related primarily to the unrealized market valuation losses on its super senior credit default swap portfolio and credit valuation adjustments.
6 billion in pretax mark-to-market and credit valuation adjustments on certain liabilities, including the Merrill Lynch structured notes, and a $402 million pretax charge to pay the U.
2 billion to the Financial Services loss, primarily from the unrealized market valuation losses on its super senior credit default swap portfolio and credit valuation adjustments.
super senior ABS CDOs(1) and credit valuation adjustments of negative $2.
ABS CDOs and credit valuation adjustments related to hedges with financial guarantors.

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