European supervisors showing ‘no mercy’ on SA-CVA approvals
Risk Live: Bank of America found the compliance workload similar to FRTB internal models
A senior risk modeller has warned that the European Central Bank is taking a tough line on approvals for banks to use the standardised approach to calculating capital requirements for credit valuation adjustments (SA-CVA).
“Don’t underestimate the effort required to package, process and get to the end of a SA-CVA application,” said Adolfo Montoro, a director within the global market risk analytics
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