"avantage appointed to the ABBL's CVA Working Group"
Ilya Kraev and Christophe Durenne, Senior Consultants, avantage have been appointed to the CVA Working Group of the Luxembourg Association of Banks.
The proposed Capital Requirements Directive (CRD 4) requires financial institutions to calculate an additional capital requirement for the so-called Credit Valuation Adjustment (“CVA”) for all Over-the-Counter (“OTC”) derivative instruments in respect of all business activities, other than credit derivatives recognised to reduce the risk-weighted exposure amounts for credit risk.
Based on the likely impact of CVA on Luxembourg banks, the ABBL has recently established a dedicated working group focused on the Standardised Method for calculating the CVA capital requirement. avantage will provide subject matter input to the working group with a view to support the banking industry in implementing and addressing CVA requirements.
