FRTB Standardised Approach for CVA (SA-CVA, BCBS 325)

Multiplier m(CVA)

The multiplier $m_{C V A}$ is used with the expected shortfall measure to compensate for a higher level of model risk in calculation of CVA and CVA sensitivities.
For transactions that give rise to a significant level of dependence between exposure and the counterparty’s credit quality, this dependence should be taken into account.
Banks that fail to account for this dependence must use a higher value of multiplier $m_{C V A}$ , default value is [ 1.5 ].
However, the default value of the multiplier can be increased by the bank’s supervisory authority if it determines that the bank’s CVA model risk is higher than its peer’s.
In particular, the default value will be increased if the bank does not account for the dependence between exposure and counterparty credit quality in its CVA calculations.

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