Model foundations of the Basel III standardised CVA charge

Model foundations of the Basel III standardised CVA charge

bis-tower-basel

One of the primary focus points of Basel III rules on minimum capital requirements issued by the Basel Committee on Banking Supervision (2010) has been counterparty credit risk (CCR).1 Among other things, Basel III has introduced the concept of credit value adjustment (CVA) into calculations of the CCR capital. In particular, in addition to the default capital, banks are required to calculate a CVA capital charge. This accounts for losses resulting from an increase of CVA due to deterioration of

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: