CVA dismay: final Basel rules disappoint dealers

Minor tweaks don’t make up for removal of internal modelling, say banks

Almost two years after shocking the industry with plans to bar the use of internal models when calculating the credit valuation adjustment (CVA) capital charge, international regulators have finalised their new framework. It’s better than it was, banks say, but worse than hoped.

Dealers cite the lower capital multiplier and better recognition of hedges as improvements, but complain the framework remains too conservative. “[We were] hoping for a recalibration to even lower levels, so it’s

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: