Banks say Europe’s CVA proxy-spread plans lack flexibility

The European Banking Authority recommends that firms should use alternative approaches based on a more fundamental analysis of credit risk

- Nazneen Sherif
- 10 Aug 2017

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Dealers have welcomed new European proposals to provide flexibility in the calculation of derivatives counterparty risk capital requirements for hard-to-measure clients, but they say the rules are too restrictive to be of significant benefit.

In June, the European Banking Authority (EBA) proposed amendments to the method for calculating the Basel III credit valuation adjustment (CVA) risk charge for counterparties with illiquid or no credit default swaps (CDSs) of their own, and where no proxy

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