Counterparty risk capital and CVA

Counterparty risk capital and CVA

Counterparty credit risk (CCR) is one of the primary focus points of the recent changes to regulatory minimum capital requirements, now commonly known as Basel III (Basel Committee on Banking Supervision (BCBS), 2010). Among other things, Basel III has introduced the concept of credit valuation adjustment (CVA) into calculations of the CCR capital charge. CVA appears twice in the Basel III minimum capital requirements for CCR.

In addition to the default capital charge, banks are required to

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