Risk Annual Summit: CVA rethink needed, says HSBC risk specialist
Market risk hedges should be recognised when calculating CVA capital charge, says HSBC market risk modelling head
The incoming capital requirement for credit value adjustment (CVA) should be part of banks' market risk calculations, rather than a standalone charge, according to Manoj Bhaskar, head of market risk methodology and regulatory modelling at HSBC. Speaking today at the Risk Annual Summit in London, Bhaskar described the CVA charge as "one of the sorest points" in conversations between the industry and regulators since it was published in December 2010.
But with the Basel Committee on Banking
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