Risk Benchmarking
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Welcome to Risk Benchmarking, a new research service scrutinising op risk practices at a range of financial institutions. Each quarter, we’ll share some of the findings from one of four cohorts – G-Sibs, other banks, asset managers and insurers, and FMIs.
Participants get to see all the data – message us for details: benchmarking@risk.net
One-factor rates models sit behind most XVA calculations
Risk Benchmarking: Dealers coalesce around calibration depth, but runtimes and lookbacks vary sharply
Dealers still split on XVA desks’ funding remit
Risk Benchmarking: Global dealers use XVA desks to manage swaps funding needs, but most treasuries retain some control
Most dealers run central XVA desks, but remits vary
Risk Benchmarking: Many banks struggle to track XVA costs and share of derivatives compute
Big banks look to XVA desks to crush counterparty exposures
Risk Benchmarking: Two-thirds of global dealers run routine optimisation, compared with just 13% of smaller players
Dealers price ColVA, but few agree on scope
Risk Benchmarking: Two-thirds of dealers price in collateral valuation adjustments, but only half recognise it in accounting
Benchmarks
Model risk
Operational risk
Top 10 Op Risks
Climate risk
ALM
XVAs
Enterprise risk
Explore the data
Sizing up XVAs
How large are the valuation adjustments dealers hold against their swaps books? CVA and FVA are priced and recognised in accounting almost everywhere. Half of global dealers carry CVA reserves of between $130m and $325m, and more banks booked CVA gains than losses this year. Capital and margin costs mostly stop at pricing: 25 of 35 banks price in KVA and 18 of 37 MVA, but few book them.
Click here to take a deep dive into the findings of Risk.net’s XVA Benchmarking study of 41 banks, with interactive charts on modelling, optimisation and tech stacks.
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