Illiquidity holding back CCDS, despite Basel III endorsement

Where is the liquidity?

mannequin-on-strings

The new Basel III capital charge for credit value adjustment (CVA) has been subject to bitter criticism since it was first mooted at the end of 2009 – and despite one significant overhaul to the capital calculation formula and a few additional tweaks here and there, that criticism has continued. One key complaint has been that the Basel Committee on Banking Supervision has opted to play it safe: its formula is more conservative and more simplistic than the models banks use internally to measure

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