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Archive » May 2013 » Basel 3 and Cva: the counterparty risk management and valuation

Basel 3 and Cva: the counterparty risk management and valuation

Walter Vecchiato, Eugenio Virguti
May 2013 - n°5
Jel codes: G21, G28

Basel 3 has incorporated valuation adjustment in calculations of regulatory capital for counterparty credit risk, introducing an important element for the pricing and risk management of derivatives portfolios. The use of an advanced or standardized Cva risk capital charge method depends on whether banks have existing regulatory approvals for both Imm and specific risk VaR model

 

 

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