Europe expects FRTB to bite on XVA hedges
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Risk Benchmarking: One-third of European dealers fear new market risk rules will have major effect on hedges
This article is part of a series benchmarking bank XVA management practices. Subscribers can view selected cuts of the data here, and sign up for Risk Benchmarking emails here.
European respondents to Risk.net’s latest XVA Benchmarking exercise say long-anticipated changes to market risk capital rules will hit hedges for derivatives valuation adjustments, or XVAs. Fully 60% of European dealers
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