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dc.contributor.authorVan Vuuren, Gary
dc.contributor.authorEsterhuysen, Ja'Nel
dc.date.accessioned2016-12-14T10:31:08Z
dc.date.available2016-12-14T10:31:08Z
dc.date.issued2014
dc.identifier.citationVan Vuuren, G. & Esterhuysen, J. 2014. A primer on counterparty valuation adjustments in South Africa. South African Journal of Economic and Management Sciences, 17(5):584-600. [http://sajems.org/index.php/sajems/article/view/648]en_US
dc.identifier.issn2222-3436 (online)
dc.identifier.urihttp://hdl.handle.net/10394/19682
dc.identifier.urihttp://sajems.org/index.php/sajems/article/view/648
dc.description.abstractCounterparty valuation adjustment (CVA) risk accounts for losses due to the deterioration in credit quality of derivative counterparties with large credit spreads. Of the losses attributed to counterparty credit risk incurred during the financial crisis of 2008-9 were due to CVA risk; the remaining third were due to actual defaults. Regulatory authorities have acknowledged and included this risk in the new Basel III rules. The capital implications of CVA risk in the South African milieu are explored, as well as the sensitivity of CVA risk components to market variables. Proposed methodologies for calculating changes in CVA are found to be unstable and unreliable at high average spread levels.en_US
dc.language.isoenen_US
dc.publisherUniversity of Pretoriaen_US
dc.subjectcounterparty credit risken_US
dc.subjectCVAen_US
dc.subjectcredit ratingsen_US
dc.subjectBasel IIIen_US
dc.titleA primer on counterparty valuation adjustments in South Africaen_US
dc.typeArticleen_US
dc.contributor.researchID12001333 - Van Vuuren, Gary Wayne
dc.contributor.researchID11931868 - Esterhuysen, Ja'Nel


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