VAR models need overhaul to apply CVA proxy rules, says EBA
EBA surprises industry with eleventh-hour guidance that spread simulations – not just initial levels – should account for rating, region and sector
European banks face the prospect of a painful overhaul of their value-at-risk models if they want to use the advanced approach to the credit valuation adjustment (CVA) capital charge – a requirement outlined by European Banking Authority (EBA) officials at a hearing on draft CVA rules in London yesterday, to the dismay of bank attendees.
With six months to go until the CVA charge comes into force
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