Comparing Alternate Methods for Calculating CVA Capital Charges under Basel III
نویسندگان
چکیده
The global financial crisis brought counterparty credit risk and CVA very much into the spotlight. The Basel III proposals first published in December 2009 [2] introduced changes to the Basel II rules [1] including a new capital charge against the volatility of CVA. As the Basel committee noted, two thirds of the counterparty risk related losses during the credit crisis were actually from CVA volatility rather than defaults. Not surprisingly then, the new ‘CVA ‘VaR’ capital charge is quite punitive and worthy of focus.
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تاریخ انتشار 2012