Dealers criticise Basel’s 'nonsensical’ CVA impact study
The tight deadline and limited portfolio coverage of Basel's QIS for its review of the CVA rules makes it hard to measure the impact on capital, say banks
The Basel Committee on Banking Supervision's impact study for its update of the credit valuation adjustment (CVA) rules had an "impossible" timeline and "nonsensical" design that makes it hard to measure the effect of the proposed framework, according to dealers.
"They don't leave much time and ask for a lot of things. It is time consuming and resource consuming," says a CVA trader at a major European bank.
The Basel Committee published its proposed review of the CVA framework in July. The
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