CVA Risk Management Working Group Report -Towards the Introduction of Market-based CVA- [181 KB]
We, Japanese Bankers Association (Chairman: Nobuyuki Hirano (President & Group CEO, Mitsubishi UFJ Financial Group)) is pleased to announce “CVA Risk Management Working Group Report” (hereinafter referred to as “Report”) has been published as the outcome of discussions in the CVA Risk Management Working Group, established in our organization.
As internationally active banks in Europe and US have been applying market-based CVA, we see increasing necessity to introduce CVA among Japanese banks. Thus, Japanese banks with significant exposures on derivatives are expected to assess the feasibility of introducing CVA in their practices as first movers. In view of many issues envisaged in introducing market-based CVA in Japan, a phased-in approach is proposed in this Report as a realistic approach.
To overcome such issues in phased-in implementation of market-based CVA, we believe it important to clarify who is responsible for and place priority on existing issues. Japanese Bankers Association would be actively involved in such efforts on an ongoing basis.
We expect this Report to be helpful for wide spectrum of parties concerned.