• Login
  • Privacy Policy
  • ttt
    • ttt2
      • Home
      • Capital/FRTB
        • FRTB Standardised Approach for the Trading Book (SA-TB, BCBS 352)
        • FRTB Basic Approach for CVA (BA-CVA, BCBS 325)
        • FRTB Standardised Approach for CVA (SA-CVA, BCBS 325)
        • FRTB Internal Models Approach for the Trading Book (IMA-TB, BCBS 352)
      • Models
        • Papers
          • About
            • Home
            • Capital/FRTB
              • FRTB Standardised Approach for the Trading Book (SA-TB, BCBS 352)
              • FRTB Basic Approach for CVA (BA-CVA, BCBS 325)
              • FRTB Standardised Approach for CVA (SA-CVA, BCBS 325)
              • FRTB Internal Models Approach for the Trading Book (IMA-TB, BCBS 352)
            • Models
              • Margin Period of Risk
            • Papers
              • Andersen Pykhtin Sokol 2016
            • About
              • Copyright
              • License
              • Register
            1. Capital/FRTB
              • Privacy Policy
              • ttt
              • ttt2
              • Home
              • Capital/FRTB
              • Models
              • Papers
              • About

            FRTB Basic Approach for CVA (BA-CVA, BCBS 325)

            • Slides
            • Excel
            Slides
            • Introduction
            • Basic CVA capital charge
            • Contribution of credit spread variability - 1 of 2
            • Contribution of credit spread variability - 2 of 2
            • Supervisory risk weights
            • Correlation
            • Basic CVA - pros and cons

            Regulatory and internal model validation services from CompatibL

            Learn more

            Slides

            Table of Contents

            Introduction
            Basic CVA capital charge
            Contribution of credit spread variability - 1 of 2
            Contribution of credit spread variability - 2 of 2
            Supervisory risk weights
            Correlation
            Basic CVA - pros and cons
            Copyright © 2019 ModVal.org | Privacy Policy

            Want to know more?

            Get our brochure on Model Validation Services and get insights:

            • Advantages of model validation with CompatibL
            • Global regulatory standard coverage
            • Benefits of the structured approach
            • Validation steps
            • Test types
            • Model documentation
            Invalid email
            I agree to ModVal.org Privacy Policy *
            Please agree
            I hereby give ModVal.org permission to contact me by email *
            Please permit