One-factor rates models sit behind most XVA calculations

Risk Benchmarking: Dealers coalesce around calibration depth, but runtimes and lookbacks vary sharply This article is part of a series benchmarking bank XVA management practices. Subscribers can view selected cuts of the data here, and sign up for Risk Benchmarking emails here.Nearly 70% of firms taking part in Risk.net’s latest XVA Benchmarking exercise calibrate the rates models behind their derivatives valuation adjustments (XVAs) to a single factor. Of 35 banks answering the question, the Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe You are currently unable to print this content. Please contact info@risk.net to find out more. You are currently unable to copy this content. Please contact info@risk.net to find out more. Copyright Infopro Digital Limited. All rights reserved.You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.If you would like to purchase additional rights please email info@risk.net Sorry, our subscription options are not loading right now Please try again later. Get in touch with our customer services team if this issue persists. New to Risk.net? View our subscription options If you already have an account, please sign in here. You already have an account with one of the websites below that uses this email address. Risk.net, FX Markets.com, WatersTechnology.com, Central Banking.com, PostOnline.co.uk, InsuranceAge.co.uk, RiskTechForum.com and Chartis-Research.com. Please use your existing password to sign in. Benchmarking Dealers still split on XVA desks’ funding remit Risk Benchmarking: Global dealers use XVA desks to manage swaps funding needs, but most treasuries retain some control 11 Nov 2026 XVAs Most dealers run central XVA desks, but remits vary Risk Benchmarking: Many banks struggle to track XVA costs and share of derivatives compute 06 Nov 2026 XVAs Big banks look to XVA desks to crush counterparty exposures Risk Benchmarking: Two-thirds of global dealers run routine optimisation, compared with just 13% of smaller players 04 Nov 2026 XVAs Dealers price ColVA, but few agree on scope Risk Benchmarking: Two-thirds of dealers price in collateral valuation adjustments, but only half recognise it in accounting 02 Nov 2026 XVAs Europe expects FRTB to bite on XVA hedges Risk Benchmarking: One-third of European dealers fear new market risk rules will have major effect on hedges 30 Oct 2026 XVAs XVA Benchmarking 2026: explore the data Browse interactive charts from Risk.net’s 41-bank exercise, including valuation methodologies, modelling and calibration, hedging, regulatory capital and tech stacks 28 Oct 2026 XVAs Little consensus on how banks manage FVA Risk Benchmarking: Majority of dealers still mix and match methodologies for funding adjustments 26 Oct 2026 XVAs Off the grid? Dealers mull XVA cloud shift Risk Benchmarking: 69% of European banks still run core XVA calculations predominantly on-premises, and 75% of global dealers 23 Oct 2026 Most read articles loading... Back to Top