Credit Risk USA: Basel trading book regime attacked by dealers
CVA charge and Basel 2.5 rules incoherent and over-complicated, say dealers
The Basel trading book regime – which includes a charge for credit value adjustment (CVA) and a collection of other changes collectively known as Basel 2.5 – came in for scathing criticism from bankers at the Credit Risk USA conference in New York.
Dealers complained about the complexity of the charges, which were out of line with internal risk management and would give firms an incentive to incorrectly hedge their exposures, they claimed. Panel participants also expressed hope that both the
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