Regulatory and internal model validation services from CompatibL
Basic CVA - pros and cons
- While the Basic CVA framework has certain advantages over the original CVA capital charge in Basel III, its lack of dependence on sensitivities, combined with the higher degree of conservatism added by the regulators to compensate for that shortcoming, make it a highly capital-intensive regulatory method.
- The sensitivity based standardised approach (SA-CVA) offers a much more capital-effective option for the CVA capital charge.