EU banks show basic instinct for credit valuation adjustments
Simpler approach to CVA appeals even to some already using more complex models for counterparty risk
Steve Jobs famously said it takes a lot of hard work to make something simple. But equally, something simple can save a lot of hard work.
From January 1 this year, a suite of new capital rules came into force for banks in the European Union. These large-scale amendments to the bloc’s Capital Requirements Regulation (CRR) implement the final elements of the post-financial-crisis rulebook developed by the Basel Committee on Banking Supervision – Basel III.
The third iteration of CRR contains a new
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