After Archegos, a bigger role for XVA desks?
Credit Suisse has stalled on call to expand XVA remit; others think it would have helped, but disagree on how
Among the 14 steps urged upon Credit Suisse by the law firm that investigated its Archegos loss is one the bank has so far not acted upon or endorsed – a bigger role for the bank’s derivatives valuation adjustment (XVA) desk.
Out of this simple, narrow suggestion – that the XVA desk would have helped Credit Suisse avoid or limit its $5.5 billion loss – come some complex, broader questions about the role of XVA desks today, and how that role might change. At other banks, many traders and quants
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