Basel to overhaul CVA capital calculation

Basel to overhaul CVA capital calculation

Mark White

The Basel Committee on Banking Supervision is expected to publish changes to its controversial capital charge for credit value adjustment (CVA) this month.

The modifications are intended to address criticism of the method originally proposed in December last year to calculate CVA exposures –known as the bond-equivalent approach. Dealers had argued the methodology was a poor proxy for CVA risk and would undermine sound hedging practices (Risk February 2010, pages 19–21).

The changes will make 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 [email protected] or view our subscription options here:

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a 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 individual account here: