Pricing CDSs’ capital relief

Chris Kenyon and Andrew Green
27 Sep 2013

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The Basel Committee on Banking Supervision capital requirements known as Basel 2.5 and III – and their legal implementations such as the European Capital Requirements Directive (CRD IV) and more recently by the US Federal Reserve Board – set out specific capital charges for counterparty default risk and credit valuation adjustment (CVA) variation. The rules laid out by the committee allow for banks to reduce these charges by taking positions in appropriate credit default swaps (CDSs) and dealers

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