Asia Risk Congress 2010: CVA ‘less relevant’ for domestic banks

Panellists discussing the finer points of credit valuation adjustment (CVA) at the Asia Risk Congress 2010 said despite all the current talk about CVA in the region, it may prove to be less relevant for Asian institutions compared with their international peers

"[CVA will] probably be less relevant for Asian banks operating in this region, than for global banks that are actually market makers for OTC derivatives," said Brian Lo, head of market risk at DBS in Singapore, speaking at the Asia Risk Congress 2010 in Hong Kong on November 16. But Lo believes CVA is important for banks active in the derivatives market. "It is really a question of whether we are pricing in credit risk correctly for OTC derivatives," he said.

Steven Zhu, head of market risk