Japan banks still not pricing CVA into derivatives trades

A loans-focused business model means credit risk mitigation a low priority

Japanese parasol

Despite Japan regulators introducing Basel III in 2013, a year ahead of Europe and with it the requirement to calculate a regulatory credit valuation adjustment charge to mitigate counterparty credit exposure, domestic banks in the north Asian country are not yet pricing CVA into derivatives trades.

Most global banks implemented CVA pricing following the 2008 financial crisis and many Japan dealers also looked closely into this issue in 2010. However, Japan's banks did not feel compelled to go d

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