The rise of KVA: how 10 banks are pricing the capital crunch
Risk survey shows new add-on is gaining acceptance and could reshape the swaps business
It is difficult or impossible to hedge, threatens losses for the industry in the multiple billions of dollars, and could force banks to rethink some of their businesses – these are some of the key findings from Risk's survey on capital valuation adjustment (KVA), a new component of trade pricing that reflects growing capital costs.
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The respondents are split on many of the 23 questions in the survey, but there is agreement that if banks were to
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