Credit valuation adjustment (CVA)
Softer DFAST market shock favours Goldman but confounds comparability
Tweak to trading book test reveals widening gap between bank and Fed loss forecasts
Patience pays off for XVA desks in wild week of tariff swings
Dealers avoided knee-jerk reactions that could have caused credit spreads to widen further
FRTB may bite harder for Europe’s CVA modellers
Farther reach of advanced approach and lighter load on total requirements mean limited takeaways from Canada and Japan’s implementation
UBS’s CVA charges spike by 30% under new market risk regime
Proportional impact is higher than at any FRTB adopter so far
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
Basel uniformity fades as members defy dress code
Rule-makers diverge from Basel III standards, denting aims of comparability and fuelling fears over fair competition
EU banks show basic instinct for credit valuation adjustments
Simpler approach to CVA appeals even to some already using more complex models for counterparty risk
RBC’s CVA risk charges swell 42% in first year under FRTB
Bloating RWAs contrast with declines at peers employing new standardised approach
Credit risk transfer, with a derivatives twist
Dealers angle to revive market that enables them to offload counterparty exposures, freeing up capital