July 15, 2024 (NO COMMENTS)

Resolution plan reviews exposed material limitations in banks’ ability to unwind derivatives

 

Risk management experts say Citi needs a more joined-up approach to distributing risk information within its organisation if it is to avoid further regulatory scrutiny by US federal regulators – and its derivatives valuation adjustment (XVA) desk might hold the key. “If you have one group in the bank which can help you with the task – presumably their XVA desk – where you otherwise publicly and embarrassingly fail, then you should use it. Maybe that should be their plan,” says Dmitry Pugachevsky