Index hedges may be allowed in Basel CVA charge
Basel Committee modelling group chair suggests index hedges and double counting could be fixed in proposed CVA charge.
A controversial capital charge for credit valuation adjustment (CVA) put forward by the Basel Committee on Banking Supervision in December is likely to be tweaked, says the chair of the Basel group looking into the issue. The possible changes include allowing for index hedges and the avoidance of double counting for CVA losses that have already been booked through profit and loss statements.
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