basel iii
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SA-CVA : Basel III
Hello David, I was going through Basel III finalisation and have found that the standard approach does not employ exposure at all in the calculation of CVA. 1. Does this mean SA-CVA will be will be in the form of spread which must be reduced from the price of a derivative? 2. Will be grateful...- Sameera
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- basel iii counterparty-credit-risk cva sa-cva
- Replies: 0
- Forum: P2.T6. Credit Risk Measurement & Management
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Credit Valuation Adjustment vs Expected Loss
Hello David! I have noticed that formula for both expected loss and CVA is the same. CVA is the present value of future exposure. Isn't expected loss the same thing? I am aware that EL is used for both credit risk and counterparty credit risk. So, why CVA if we can measure CCR with EL? Would be...- Sameera
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- basel iii counterparty credit risk credit risk credit valuation adjusment cva expected loss
- Replies: 6
- Forum: P2.T6. Credit Risk Measurement & Management