Model foundations of the Basel III standardised CVA charge

Model foundations of the Basel III standardised CVA charge


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

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