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CVA under Basel III 1.what is different between Regulatory CVA and CVA under accounting and pricing? I found some literatures that define CVA under accounting as, capital that cover expected losses due to CVA volatility while some say, is the cost of credit risk? which is which? 2. The CVA...

Hi David! I would like to know how one does the mathematical derivation of Unexpected Losses (UL), by definition this is the standard of deviation of Expected Losses (EL). We know that EL=PD*LGD*EaD, this means that UL^2 = E[EL^2] -(E[EL])^2, how does one continue from here?