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K_reduced
| Description |
Interim measure for the capital requirement for CVA risk under the reduced version of the BA-CVA |
| Reference |
[MAR50.14] |
| Notation |
$K_{reduced}$ |
| Formula |
$$K_{reduced}= \sqrt{\left( \rho \cdot \sum_{c} SCVA_c \right)^2 + (1-\rho^2)\cdot \sum_c SCVA_c^2}$$ |
See also