Regional banks may benefit from Basel CVA surprise

Basel Committee decision removes potential source of competitive advantage for large dealers

Large banks may be losing an opportunity to race ahead

Major global banks have expressed shock and disappointment at the Basel Committee on Banking Supervision’s decision to drop the internal models approach for capitalising credit valuation adjustment risk (IMA-CVA), but many regional banks are more sanguine.

The idea of scrapping IMA-CVA has upset large dealers, which were in the middle of completing a quantitative impact study based on the own-models approach when supervisors revealed it would be ditched in a March 24 consultation.

Their regional

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Calibrating interest rate curves for a new era

Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…

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