Illiquidity holding back CCDS, despite Basel III endorsement

Where is the liquidity?


The new Basel III capital charge for credit value adjustment (CVA) has been subject to bitter criticism since it was first mooted at the end of 2009 – and despite one significant overhaul to the capital calculation formula and a few additional tweaks here and there, that criticism has continued. One key complaint has been that the Basel Committee on Banking Supervision has opted to play it safe: its formula is more conservative and more simplistic than the models banks use internally to measure

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