KVA losses would outweigh FVA – Risk survey
Respondents reveal huge gulf in pricing for generic swap
Banks could lose billions of dollars collectively if they revalue their derivatives books to take into account the lifetime capital costs of post-crisis regulatory reforms, according to a survey conducted by Risk – the first to ask the industry about the emerging discipline of capital valuation adjustment (KVA).
The survey also reveals a huge gulf in the size of the adjustment respondents calculate for a generic interest rate swap, with the charge for a BB-rated counterparty ranging from €15
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Derivatives
7 days in 60 seconds
Mifid swaps, VAR and buy-side Covid lessons
The week on Risk.net, July 25-31, 2020
Receive this by email