A number of large banks are required to calculate credit valuation adjustment (CVA) charges for central counterparty exposures as part of the Federal Reserve’s annual stress tests, Risk.net has learned.
The group of firms calculating derivatives adjustments for CCPs includes JP Morgan, the US’s largest bank, individuals familiar with the matter say. A senior head of quantitative counterparty risk at the firm recently published a paper proposing one approach for the calculation. Later in April,
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