K_full

Description Interim measure for CVA Capital charge computed by BA-CVA approach. Existance of SA-CVA supervisory approval or carved out netting sets are ignored by this measure.
Reference [MAR50.20]
Notation KfullKfull
Formula Kfull=βKreduced+(1β)KhedgedKfull=βKreduced+(1β)Khedged

See also