Half of European banks already embed FRTB into XVA pricing
US and rest of world lag Europe in incorporation of Basel capital rules into XVA calculations, Risk Benchmarking analysis shows
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European banks are four times more likely to incorporate the Fundamental Review of the Trading Book into their XVA capital calculations versus their North American peers, a Risk Benchmarking study has found.
Fifty-six per cent of European banks have embedded the FRTB in derivatives valuation adjustments, compared with 14% in North America. The figure for the rest of the world, mainly comprising
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