European FRTB proposals spark XVA overload fears
Banks warn of overly complex revaluation process and heightened risk of backtest fails
It is no secret that the Basel Committee on Banking Supervision’s trading book rules will upend the way banks calculate capital requirements for their markets businesses. A clue is in the name: the Fundamental Review of the Trading Book.
What Europe’s market risk managers are just coming to learn, though, is how much the new regime could shake up the use of derivatives valuation adjustments by trading desks. Known collectively as XVAs, these adjustments reflect the costs and risks that banks
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Regulation
7 days in 60 seconds
CCPs, margin ease and equity option freeze
The week on Risk.net, November 25–29, 2019
Receive this by email