Dealers price ColVA, but few agree on scope
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Risk Benchmarking: Two-thirds of dealers price in collateral valuation adjustments, but only half recognise it in accounting
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.
Of the host of inputs to have followed counterparty risk into swaps pricing in the past decade, collateral valuation adjustments (ColVAs) – which capture the terms on which a trade’s collateral is posted – ought to be among
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