Basel Committee seeks feedback for CVA rework

Risk management model from Adobe 230x150
By GlobalCapital
28 Nov 2019

The Basel Committee on Banking Supervision (BCBS) has published a consultation on revisions to the credit valuation adjustment (CVA) risk framework.

Representing exposure to changes in counterparty credit spreads, along with other market risk factors, CVA tends to be incurred by banks that undertake derivative or securities financing transactions and run the risk of mark-to-market losses if the creditworthiness of the counterparties deteriorates. It is therefore viewed as complementary ...

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