Banks are looking into alternative credit default swaps products, securitization and other measures to offset risks associated with credit-valuation adjustment. "The banks are worrying a lot about it," said Damiano Brigo, head of the Financial Mathematics Research Group at King's College London. "In a way, CVA mark-to-market volatility has been twice as dangerous as the actual defaults. During the crisis, two-thirds of the losses were due to CVA mark-to-market rather than to actual defaults."

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