Data-driven WWR for CVA and FVA

A calculation method for regulatory CVA wrong-way risk based on credit and exposure is introduced


Chris Kenyon, Mourad Berrahoui and Benjamin Poncet introduce a data-driven approach to wrong-way risk for regulatory credit valuation adjustment and its natural extension to accounting funding and credit valuation adjustments. This approach reveals some new properties of wrong-way risk and the requirement for an additional level of scenarios to expand the limited historical data available

Credit valuation adjustment (CVA) capital requirements (MAR50 2020; BCBS

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