Article ID: 04c2c2a1ef1269e99cb7da87d89d770f027efd2b4ec978aa0339bc8b92af29c1
Source ID: regulatory:risk.net
Published At: -
Extraction Method: trafilatura
URL: https://www.risk.net/benchmarking/xvas
Body Text
XVAs | Benchmarking XVAs Squashing CVA still dominates XVA desks’ priorities Dealers favour options-based strategies to manage charges; some explore contingent CDSs amid rising exposures XVA desks prioritise core tech upgrades over AI Vendor upgrades, cloud-native rebuilds and sensitivities tooling dominate 2026 budget road maps XVA desks target capital in optimisation runs US regulatory uncertainty leaves banks cautious on investing in new optimisation tools, Risk Benchmarking study finds Almost two-thirds of banks now run XVAs on cloud Risk Benchmarking study finds a majority of big dealers tapping cloud capacity, some exclusively, with others migrating Explore the data Two-speed FRTB European banks are four times more likely to incorporate the Fundamental Review of the Trading Book into their XVA capital calculations versus their North American peers – reflecting the US’s continued delays in implementing Basel principles. The EU is set to go live in 2027 – but some of its banks are already factoring the potentially hefty portfolio impacts into calculations. Take a deep dive into the findings of our 30-bank XVAs study, with interactive charts on optimisation, regulation and tech: Most banks stick to tried-and-trusted XVA models Black Scholes- and Heath-Jarrow-Morton-based approaches dominate, with some exploring Copulas for wrong-way risk, post-Archegos XVA Benchmarking: explore the data Take a deep dive into the findings of our 30-bank study, with interactive charts covering XVA optimisation, regulation and tech stacks Half of European banks already embed FRTB into XVA pricing US and rest of world lag Europe in incorporation of Basel capital rules into XVA calculations, Risk Benchmarking analysis shows Dealers favour central XVA desks, but splits remain on funding Most banks run a single desk within the front office, but more than half share responsibility for its funding needs with treasury XVA desks may be standard – their tech and mandates aren’t A decade into centralised management of XVAs, Risk Benchmarking data finds divergent approaches to pricing, methodologies and tech stacks
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