rahul.goyl
Member
Hi Team,
Could you please elaborate on the CVA effects in portfolio context on the Bank BS. (IMP AIM of FRM)
Also how the RWA could be adjusted considering CVA netting off at portfolio level. (Not sure if this is possible)
1) Could we show a netoff effect on BS or both CVA and RWA should be calculated and reported seperately.
2) What are formulas for Standard CVA and Advance CVA.
3) When was the CVA first introduced by Basel. (Which Year, Basel-I, Basel-II)
4) Does CVA falls under Credit Risk or Market Risk ( Can we say it is IRC for Banking Books)
5) What are the products types & maturity considered for CVA
6) Does an increase in CVA year-on-year will provide any regulatory gain on mark-to-market basis
7) How could we hedge CVA risk
8) What are the (IAS) accounting treatment for CVA
9) What is DVA contrary to CVA.
10) In an Investment bank which division calculate CVA (Accounting or Risk)
It would be highly appreciated if David could focus some light onn this concept.
It would be helpful from FRM AIM perspective. I beleive this is the least explore concept on Forum.
Regards
Rahul
Could you please elaborate on the CVA effects in portfolio context on the Bank BS. (IMP AIM of FRM)
Also how the RWA could be adjusted considering CVA netting off at portfolio level. (Not sure if this is possible)
1) Could we show a netoff effect on BS or both CVA and RWA should be calculated and reported seperately.
2) What are formulas for Standard CVA and Advance CVA.
3) When was the CVA first introduced by Basel. (Which Year, Basel-I, Basel-II)
4) Does CVA falls under Credit Risk or Market Risk ( Can we say it is IRC for Banking Books)
5) What are the products types & maturity considered for CVA
6) Does an increase in CVA year-on-year will provide any regulatory gain on mark-to-market basis
7) How could we hedge CVA risk
8) What are the (IAS) accounting treatment for CVA
9) What is DVA contrary to CVA.
10) In an Investment bank which division calculate CVA (Accounting or Risk)
It would be highly appreciated if David could focus some light onn this concept.
It would be helpful from FRM AIM perspective. I beleive this is the least explore concept on Forum.
Regards
Rahul
