One-factor rates models sit behind most XVA calculations
Risk Benchmarking: Dealers coalesce around calibration depth, but runtimes and lookbacks vary sharply
This article is part of a series benchmarking bank XVA management practices. Subscribers can view selected cuts of the data here, and sign up for Risk Benchmarking emails here.
Nearly 70% of firms taking part in Risk.net’s latest XVA Benchmarking exercise calibrate the rates models behind their derivatives valuation adjustments (XVAs) to a single factor. Of 35 banks answering the question, the
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