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 if you can give us an example for the same. 3. Which approach will GARP test us on?
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 if you can give us an example for the same. 3. Which approach will GARP test us on?
