• Login
  • Privacy Policy
  • 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
          • 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
        1. Slides

        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.
        Copyright © 2023 ModVal.org | Privacy Policy

        Want to know more?

        Get our brochure on Model Validation Services and get insights:

        • Advantages of model validation
        • 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