Revised CVA capital charge continues to worry dealers

CVA melee

riccardo-rebonato

Bankers breathed a sigh of relief in December, when the publication of the final text of Basel III confirmed what many already suspected – the Basel Committee on Banking Supervision had accepted its original proposals for a credit value adjustment (CVA) capital charge were too onerous and had decided to make significant changes. The revised measures have been welcomed as a vast improvement that better reflect bank CVA exposures. But many participants remain uneasy, and claim further changes are

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