FI Supervision 19: Credit institutions’ management of counterparty risk and CVA risks

2021-12-09 | Reports Markets Bank

FI has conducted an investigation into a number of credit institutions’ exposures, risk measurement and management of counterparty risk and credit valuation adjustment (CVA) risk related to positions in financial derivatives.

Through the investigation, FI identified that these institutions need to focus on developing the risk sensitivity and precision of their existing methods and measures for quantifying of exposure amounts and valuations, and also strengthen aspects of how they manage counterparty risks in derivatives.

All of the investigated institutions have now initiated improvement programmes with the aim of developing risk measurement and risk management.