What are different reasons, Finance Team will need CVA number for? Is there any specific regulatory reporting to be done?
$\begingroup$
$\endgroup$
5
-
$\begingroup$ This is a bit vague - can you give us an actual example? 'Finance Team' and CVA are fairly broad, so a number of things could qualify here. $\endgroup$ – Phil H Jul 28 '14 at 9:30
-
$\begingroup$ I wanted to know from accounting and regulatory reporting perspective where CVA numbers are required by Finance Team. eg. Annual or Quarterly reporting etc.. $\endgroup$ – SaurabhD Jul 28 '14 at 10:49
-
$\begingroup$ Hi Saurabh, welcome to quant.SE! Thank you for asking your question here. I concur with @Phil H and I'm not sure what you mean with 'Finance Team'? It can mean different things to different people and the question in its current form is too broad to be answered. $\endgroup$ – Bob Jansen♦ Jul 28 '14 at 15:36
-
$\begingroup$ Hi Bob, Thanks for the reply and pardon me for not being specific.My question is around compliance and Regulatory reporting. Where CVA numbers are required from Regulatory Reporting perspective? eg FAS 157 fair value adjustment require CVA numbers. I hope im able to communicate my ques....Thanks $\endgroup$ – SaurabhD Jul 30 '14 at 4:53
-
$\begingroup$ Could you maybe edit your question accordingly? Thanks! $\endgroup$ – byouness May 14 '18 at 18:13
Add a comment
|
$\begingroup$
$\endgroup$
The CVA charge in Basel iii reporting increases the capital required for OTC derivatives trading. Apart from CVA, there are DVA and FVA that are important. The adjustments might be unitary reffered to as XVA, as the principle is the same.
