Basel Committee seeks feedback for CVA rework
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 ...
Please take a trial or subscribe to access this content.
Contact our subscriptions team to discuss your access: firstname.lastname@example.org