Regional banks may benefit from Basel CVA surprise
Basel Committee’s decision removes a potential source of competitive advantage for large dealers
Major global banks have expressed shock and disappointment at the Basel Committee on Banking Supervision’s decision to drop the internal models approach for capitalising credit valuation adjustment risk (IMA-CVA), but many regional banks are more sanguine.
The idea of scrapping IMA-CVA has upset large dealers, which were in the middle of completing a quantitative impact study based on the own-models approach when supervisors revealed it would be ditched in a March 24 consultation.
Their regional
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