Dealers fret over Basel CVA revisions

Punitive standardised approach may replace modelling

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Up in the air: some dealers fear capital costs will rise

When it emerged that the Basel Committee on Banking Supervision was to overhaul its framework for calculating capital requirements for derivatives counterparty risk, dealers cheered – the capital rules had always diverged from market practice, so this was seen as an opportunity to better align them with the way the risk is managed in reality.

When the new credit valuation adjustment (CVA) capital proposals were released in July, it appeared that banks' prayers had been answered. They could

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