XVA desks target capital in optimisation runs
US regulatory uncertainty leaves banks cautious on investing in new optimisation tools, Risk Benchmarking study finds
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This piece is part of a series benchmarking bank XVA management practices. Risk Management subscribers can view selected cuts of the underlying data here.
A majority of banks treat reducing the impact of regulatory capital as a priority when optimising derivatives valuation adjustments (XVAs), yet only a handful are exploring new tools to help squash it during optimisation runs, the findings of Ri
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