
Basel Committee to rethink CVA capital charge

The Basel Committee on Banking Supervision may modify its controversial capital charge for credit value adjustment (CVA), following research published this month in Risk that appears to show flaws in the methodology, with the end result that banks could be penalised for hedging their exposures.
The committee first published its proposals on a CVA capital charge in December 2009, based on a bond-equivalent approach that uses a hypothetical zero-coupon bond to mimic counterparty risk.
However, the
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact customer services - www.fx-markets.com/static/contact-us, or view our subscription options here: https://subscriptions.fx-markets.com/subscribe
You are currently unable to print this content. Please contact customer services - www.fx-markets.com/static/contact-us to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Regulation
Follow Topics
Receive the content you need straight to your inbox
Choose to follow a range of topics and receive a regular roundup of the latest coverage.