Regulatory and internal model validation services from CompatibL
Introduction
- A bank meeting certain criteria may calculate CVA capital charge according to the SA-CVA, with the calculation taking place at least monthly
- Bank must have a CVA desk to be eligible for SA-CVA
- One of the key aspects of greater capital efficiency of SA-CVA is the ability to incorporate more categories of eligible hedges than the original CVA capital charge in Basel III, as well as to eliminate the discrepancy between the hedge ratios for fair value reporting and for regulatory relief that existed in the original Basel III CVA capital charge.
- The main differences between SA-TB and SA-CVA are the absence of default risk and gamma risk, and the use of multiplier .