Traders shocked by $712m CVA loss at StanChart
Bank’s new methodology has been used by some rivals for more than a decade
Derivatives traders have been shocked by a $712 million revaluation loss at Standard Chartered after the bank changed the way it calculates counterparty risk – a switch that lagged the rest of the industry by as much as a decade.
A spokesperson for the bank says Standard Chartered's predominantly emerging markets portfolio lacked the data that would have allowed it to change its approach to credit valuation adjustment (CVA) earlier. Insiders claim the bank's traders have long supported a change
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
Climate charges, CCP contagion and the post-Libor world
The week on Risk.net, May 23-29, 2020
Receive this by email