Deep Insights. Deep Expertise.

Riskworx / Blog

Discover

DVA: BIS Stands Firm on Stance on DVA

DVA
Riskworx Management
Written by Ashley Kanter 07 May 2021
The Basel Committee’s final ruling on the treatment of valuation adjustments to liabilities are out, and they reaffirm the derecognition from Tier 1 capital of changes in DVA. “…the Committee believes that valuation adjustments to derivative liabilities raise a wide range of prudential concerns, and therefore that conservatism should drive the policy framework in this […]

The Basel Committee’s final ruling on the treatment of valuation adjustments to liabilities are out, and they reaffirm the derecognition from Tier 1 capital of changes in DVA.

“…the Committee believes that valuation adjustments to derivative liabilities raise a wide range of prudential concerns, and therefore that conservatism should drive the policy framework in this area. In addition, the Committee believes that it is currently not feasible to implement alternative approaches in a consistent and sufficiently robust manner.”

 

Visit www.riskworx.com and LinkedIn

At our core, we’re problem-solvers, We add a dose of humanity to
Financial and Quantitative Modelling to provide answers and overcome challenges.