xVA – The brave new world of derivative pricing

Markit Analytics

With market participants coming to terms with the fact that xVA is much more than a series of optional and bespoke adjustments, components such as KVA and IMVA are becoming increasingly topical.

Topics include:

Why do some banks calculate CVA differently or not at all?
Why will the review of the CVA capital framework (BCBS 325) lead to major changes on how dealers capitalise derivatives?

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