KVA: banks wrestle with the cost of capital
As the bank capital burden grows, dealers are trying to price in the associated costs
In principle, derivatives pricing adjustments are simple, sensible things, and capital valuation adjustment (KVA) is no different. The newest addition to the family – known collectively as XVAs – reflects the capital a trade consumes over its lifetime, which is an obvious source of cost or benefit, and large dealers are increasingly incorporating it in their prices.
"You can't really fly blind in this regulatory environment; it is not very forgiving," says the head of the XVA desk at a leading
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 Basel Committee
Investing
From ‘cottage industry’ to quant-ready: prop data at JP Morgan
Unique information now “table stakes” for brokers as they compete for new clients
Receive this by email