One-factor rates models sit behind most XVA calculations
Skip to main content
Risk Benchmarking: Dealers coalesce around calibration depth, but runtimes and lookbacks vary sharply
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.
Nearly 70% of firms taking part in Risk.net’s latest XVA Benchmarking exercise calibrate the rates models behind their derivatives valuation adjustments (XVAs) to a single factor. Of 35 banks answering the question, the
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
Dealers still split on XVA desks’ funding remit
Risk Benchmarking: Global dealers use XVA desks to manage swaps funding needs, but most treasuries retain some control
Most dealers run central XVA desks, but remits vary
Risk Benchmarking: Many banks struggle to track XVA costs and share of derivatives compute
Big banks look to XVA desks to crush counterparty exposures
Risk Benchmarking: Two-thirds of global dealers run routine optimisation, compared with just 13% of smaller players
Dealers price ColVA, but few agree on scope
Risk Benchmarking: Two-thirds of dealers price in collateral valuation adjustments, but only half recognise it in accounting
Europe expects FRTB to bite on XVA hedges
Risk Benchmarking: One-third of European dealers fear new market risk rules will have major effect on hedges
XVA Benchmarking 2026: explore the data
Browse interactive charts from Risk.net’s 41-bank exercise, including valuation methodologies, modelling and calibration, hedging, regulatory capital and tech stacks
Little consensus on how banks manage FVA
Risk Benchmarking: Majority of dealers still mix and match methodologies for funding adjustments
Off the grid? Dealers mull XVA cloud shift
Risk Benchmarking: 69% of European banks still run core XVA calculations predominantly on-premises, and 75% of global dealers
Most read articles loading…
Back to Top
You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.
