A peek under the hood of Canadian banks’ new CVA machine

Disclosures from the country’s top dealers offer first glimpse of how FRTB reforms can reshape capital gauge for potential losses on derivatives

This is the first in a new series of extended articles from Risk.net’s Risk Quantum desk, which produces daily data articles, available via a Risk Management subscription. You can find all the articles in this series here.

Canada’s rollout of new market risk capital rules has produced surprising differences in how individual banks have adopted the new regime.

The Fundamental Review of the Trading