Description

This survey, conducted jointly by Deloitte and Solum Financial, examines the approaches used to manage CCR in light of the financial crisis and increased regulatory focus covering CVA, DVA and FVA. We surveyed 21 banks in 2012 and their responses were given as a current state of the situation that existed at that time. Subsequent changes may have occured.

Within the survey, the number of banks represented can be broadly described in two ways. The first are those banks who already have much of their CVA infrastructure in place in terms of models, systems, CVA desks and regulatory approvals. These banks are now focusing more on enhancing their capablilities across FVA, CVA hedging and capital optimisation.

The second group of banks are in the process of developing their CVA infrastructure with respect to accounting rules, trade pricing, setting up CVA desks and obtaining advanced regulatory approvals.

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