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CVA Capital Calculation

In response to the global financial crisis and a heightened awareness of counterparty credit risk and CVA, Basel III includes a new capital charge against CVA volatility. In this whitepaper, Quantifi's CEO, Rohan Douglas, and Director of Research, Dmitry Pugachevsky, explore the two ways for banks to compute CVA VaR -- the standardized and the advanced methods -- and the potential under both approaches to achieve capital relief using hedging.

December 3, 2021

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