A peek under the hood of Canadian banks’ new CVA machine
Disclosures from the country’s top dealers offer first glimpse of how FRTB reforms can reshape capital gauge for potential losses on derivatives
This is the first in a new series of extended articles from Risk.net’s Risk Quantum service, which produces daily data articles, available via a Risk Management subscription.
Canada’s rollout of new market risk capital rules has produced surprising differences in how individual banks have adopted the new regime.
The Fundamental Review of the Trading Book has all but removed banks’ ability to deploy their own models for calculating capital requirements for credit valuation adjustment (CVA) risk
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