KVA losses would outweigh FVA – Risk survey
Respondents reveal a huge gulf in the pricing of generic swaps
Banks could lose billions of dollars collectively if they revalue their derivatives books to take into account the lifetime capital costs of post-crisis regulatory reforms, according to a survey conducted by Risk – the first to ask the industry about the emerging discipline of capital valuation adjustment (KVA).
The survey also reveals a huge gulf in the size of the adjustment respondents calculate for a generic interest rate swap, with the charge for a BB-rated counterparty ranging from €15
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