Trading Book Valuation Adjustments (XVA)

Credit, Funding, Collateral and Capital

Trading Book Valuation Adjustments (known as XVA) have become more important since the financial crisis hit the banking industry in 2008. The concept of Credit Valuation Adjustments (CVA) was the first of the XVAs, introduced at the end of the millennium. Other valuation adjustments are more recent but are overtaking CVA in significance. Valuation adjustments have a big impact on financial institutions – both as a pure P&L consideration as well as from a regulatory capital perspective.

Our Approach

Fintegral staff have spent more than a decade establishing and running XVA desks at a senior level. The resources needed are very different from those used for the daily pricing and hedging activity. We can provide a full set-up service, or analyse existing valuation adjustments with a view to identifying synergies and imperfections which, if addressed, can cut the cost of an organisation’s derivatives business.

Our Experience

  • Fintegral has 13 years of first hand experience in establishing and heading XVA desks at various leading banks.