Asia dealers question applicability of CVA to region’s markets
The credit valuation adjustment aspect of the Basel III accord will come into force in six months’ time but the absence of instruments in Asia markets to hedge this risk has caused complaints from dealers that it’s not relevant to the region
Credit valuation adjustment (CVA) has moved from an obscure corner of the accounting standards book to a prominent position in the Basel III accord, mirroring the increased focus on counterparty credit risk in the banking sector following Lehman’s collapse in 2008. CVA has proved a key issue of debate in the European Union’s Capital Requirements Directive (CRD IV – the vehicle for implementing Basel III into the trade bloc’s laws) but – so far – this attention has not been matched in Asia.
Howev
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